Predictive Analytics & Risk Modeling: For Insurance and Actuarial Science
Chapter 1.7: GLM Variable Selection: Stepwise, Ridge, Lasso and Elastic Net
Full edition
Stepwise selection, penalized regression with ridge, lasso and elastic net, with worked R examples.
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Free companion material for this chapter:
Datasets and R setup for this chapter
Install the packages used in this chapter (free, from CRAN):
install.packages(c("tidyverse", "ExamPAData", "caret", "glmnet", "ISLR", "MASS"))
Hitters: ISLR package: GPL-2 (CRAN). Source: https://cran.r-project.org/package=ISLR
install.packages("ISLR")
library(ISLR)
data(Hitters)
health_insurance: ExamPAData package: MIT license (CRAN). Package docs describe it as practice-exam health claims data. A similar public 1,338-row ‘Medical Cost Personal Datasets’ file is on Kaggle under ODbL / Database Contents License. Source: https://cran.r-project.org/package=ExamPAData
install.packages("ExamPAData")
library(ExamPAData)
data(health_insurance)
Sources and further reading
More from the author: predictiveinsightsai.com