#StackBounty: #r #regression #lasso #regularization #ridge-regression Is this the correct way to run an adaptive LASSO?

Bounty: 50

I have been using the code here to run an adaptive LASSO in R using glmnet. Essentially it first runs ridge regression to get coefficients for each predictor. It then tunes lambda in the second step using penalty factor of: $frac{1}{abs({coefficient from ridge regression})}$.


Get this bounty!!!

Leave a Reply

This site uses Akismet to reduce spam. Learn how your comment data is processed.