MLGL: An R package implementing correlated variable selection by hierarchical clustering and group-Lasso
MLGL: An R package implementing correlated variable selection by hierarchical clustering and group-Lasso
The MLGL R-package, standing for Multi-Layer Group-Lasso, implements a new procedure of variable selection in the context of redundancy between explanatory variables, which holds true with high dimensional data. A sparsity assumption is made that is, only a few variables are assumed to be relevant for predicting the response variable. …