`glmnetbasil` support

[JamesYang007]

It would be nice to have a glmnet-like function that takes in individual-level data X, y and performs BASIL. The covariance method as in ghostbasil would be ideal and the covariance matrix can be constructed on the fly as strong set variables come in.

[trevorhastie]

That’s what glmnet does for Gaussian errors and type.gaussian=“covariance” method. Perhaps try glmnet first with this option Trevor

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On Dec 17, 2022, at 17:53, James Yang @.***> wrote:



It would be nice to have a glmnet-like function that takes in individual-level data X, y and performs BASIL. The covariance method as in ghostbasil would be ideal and the covariance matrix can be constructed on the fly as strong set variables come in.

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[JamesYang007]

Thanks! I thought Zihuai already tried the covariance method but then realized today the default setting was naive.