Lasso Regression - Finding multiple candidate models

Question

I have 20 predictors and I am attempting to find several candidate models to then test.

I am using the LassoCV library, my following code provides me with the alpha and co-efficients of a model.

model = LassoCV(cv=3,max_iter=1000).fit(predictors,      returns.values.ravel())

My question is: how do I get multiple candidate models, since this only provides me with 1 set of alpha and co-efficients.

Thanks.

Эрван · Answer

Have you tried the lasso_path function? It provides a coefficient path, but no cross-validation error.

Documentation can be found here

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