nielsrhansen/leekasso

Code for comparing the top 10 predictors to the lasso/debiased lasso

Running the software

A simple analysis of the Leekasso vs. the Lasso for prediction.

To run the code start R, set your working directory to the leekasso folder and type:

source("leekasso.R")

Dependencies

The R packages glmnet, lars, fields, sva

Authors

• Simulation code was written by Jeff Leek @simplystats, @leekgroup.

• The functions in debiasLasso.R were written by Noah Simon.