套索回归的R中的标准化系数

Question

Is there a way to get a list of the standardized coefficients for lasso regression in R? Following cross validation, I have identified the optimal lambda and can then obtain the coefficients appropriate for unscaled data using the predict function. I need the exact same model - ie the same coefficients must appear to be non-zero - but the lambda used for the unscaled data makes little sense when running lasso regression on scaled data.

Answer 1

这将为您提供来自弹性网的给定s的缩放系数（将lambda设置为0以关闭L2损失）：

predict( model, newx=xmat, s=s, mode="fraction", type="coefficients" )