求助,采用R语言做Lasso回归,如何输出系数的显著性水平,代码如下:
> library(ISLR)
> library(glmnet)
> lasso.mod = glmnet(x[train,],y[train],alpha =1,lambda = grid)
> set.seed(100)
> cv.out2 = cv.glmnet(x[train,],y[train],alpha=1)
> plot(cv.out2)
> bestlam2 = cv.out2$lambda.min
> bestlam2
> lasso.pred = predict(lasso.mod,s=bestlam2,newx= x[test,])
> mean((lasso.pred-y.test)^2)
> out = glmnet(x,y,alpha = 1,lambda = grid)
> lasso.coef =predict(out,type="coefficients",s=bestlam2)[1:11,]
> lasso.coef