Grouped LASSO penalisation for shrinkage with selection

An application of Grouped LASSO penalisation. Whilst group LASSO may be used more generally to pre-specify arbitrary groupings of variables, it is used here to ensure selection of entire categorical variables with more than one dummy level.

Usage

analyse_grlasso(
  x,
  response = NULL,
  vars = NULL,
  family = "gaussian",
  grpreg_list = list(NULL)
)

Arguments

x

An output of the bootstrap_data function.

response

a character argument denoting the outcome.

vars

a character vector denoting the covariates or features to be screened.

family

the error distribution and link function passed to the grpreg() call inside the analyse_grlasso function. Currently only gaussian, binomial and poisson are supported in the grpreg package with the present default set as "gaussian".

grpreg_list

a list passed to the grpreg::grpreg call. See ?grpreg::grpreg for more details.

Details

The present function is a simple wrapper for the grpreg::grpreg() function. Grouped LASSO extends the standard LASSO penalty through the introduction of a grouping index. This therefore applies variable selection at the group level.

Examples

data(iswr_stroke)
iswr_stroke %>%
  bootstrap_data(10, seed = 1234) %>%
  analyse_grlasso(response = "dead12",
                  vars = c("Gender", "Age", "Diagnosis", "Coma",
                           "Diabetes", "MI", "Hypertension"),
                  family = "binomial",
                  grpreg_list = list(penalty = "grLasso"))
#> # A tibble: 10 × 3
#>    boot_rep data               vars     
#>       <int> <list>             <list>   
#>  1        1 <tibble [814 × 8]> <chr [6]>
#>  2        2 <tibble [814 × 8]> <chr [7]>
#>  3        3 <tibble [814 × 8]> <chr [7]>
#>  4        4 <tibble [814 × 8]> <chr [7]>
#>  5        5 <tibble [814 × 8]> <chr [7]>
#>  6        6 <tibble [814 × 8]> <chr [7]>
#>  7        7 <tibble [814 × 8]> <chr [7]>
#>  8        8 <tibble [814 × 8]> <chr [4]>
#>  9        9 <tibble [814 × 8]> <chr [6]>
#> 10       10 <tibble [814 × 8]> <chr [7]>