[R] question on lasso

[Bert Gunter]

Wrong list. This list is about R programming not statistics. Try
stats.stackexchange.com for statistics questions.

However, I will make a suggestion: Find local statistical experts with
whom to consult. Your understanding appears to fall short of the
necessary background to use such complex statistical procedures
reliably. I am not confident that online lists will suffice.

Cheers,
Bert
Bert Gunter

"The trouble with having an open mind is that people keep coming along
and sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )


On Sat, Nov 5, 2016 at 11:37 AM, Constantine Frangakis <cfranga1 at jhu.edu> wrote:
> I would appreciate any comments to the following question.
> I am trying to build a model for survival based on 155 patients and 70 covariates using lasso. Lasso picks, three variables only, say X1,X2,X3, and  omits the others. I wanted to check why a particular (clinically important) variable, say X4, is omitted by lasso. One of the things I did was I ran lasso on X1,X2,X3 and X4 only. The results (coefs) I get are different from running all 70 variables, and in fact now X4 is not omitted.
> Why is that ? should it not be that the global (among all 70 variables) optimum, which is X1,X2,X3 and not X4, be also the local (among the four only) optimum ?
> Thank you for your consideration
>
>
> Constantine Frangakis, PhD
> Professor
> Departments of Biostatistics
> Psychiatry, and Radiology
> Johns Hopkins University
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