[SciPy-User] [ANN] scikit.statsmodels 0.2.0 release

[Gael Varoquaux]

On Thu, Feb 18, 2010 at 06:59:14PM -0500, josef.pktd at gmail.com wrote:
> but I haven't seen anything yet that would be BSD compatible.

We actually have some code in the lab. It is based on proximal iterations,
or dual optimisation. We are going to release some of it as BSD pretty
soon. I believe we will also implement a path algorithm, but I am not
sure whether it will be a lars or the new Friedman toy.

> I think lars is not too difficult, that's one of the reason I have it
> in mind, and I have seen some applications in econometrics where the
> forecasting performance of lars in combination with PCA was the best
> but not lars alone.

I have implemented a lars (not releasing it, as it is buggy). There are a
few difficulties that are not outlined in the article :). I am willing to
work with you on the lars (mostly by dumping the code to you, with the
comments pointing to the problems). But I would advice you to wait a
month, as we have a working sessions planned exactly for pushing code
that solves these problems in scikit.learn.

Gaël