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I know we can use GCV value to choose lambda in lasso regression. Can we also use BIC value to choose lambda in lasso regression? And how could I calculate BIC value with glmnet() in R?. I have read many lecture notes and they are all talking about using GCV value to choose the appropriate lambda.

Marcus Campbell
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aaa
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    Your question is a bit broad. Please expand it at the point where you're having a programming problem. Otherwise I suggest crossvalidated.com – Roman Luštrik Nov 25 '14 at 14:17
  • Actually, I am doing a simulation study. I just want to use BIC value to choose lambda instead of GCV value. I know how to do lasso regression with lambda chosen by GCV. I just don't know how to implement lasso regression with the lambda chosen by BIC value in R. – aaa Nov 25 '14 at 14:34

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