Variable selection using group LASSO (gglasso, grpreg that use distinct mathematical approaches), sparse group LASSO, glmnet, stability selection with error control

Variable selection using group LASSO (gglasso, grpreg that use distinct mathematical approaches), sparse group LASSO, glmnet, stability selection with error control

var_selec(X, Y, group)

Arguments

X

input a matrix of exposure variables for selection

Y

input a matrix of outcome variables

group

input the grouping structure. Group inputs should be integers

Value

Returns a list of lists that contain beta coefficient for each exposure. Each list correspond to a outcome variable provided in the input