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I can't find any packages which allow me to implement bolasso in R, does anyone know of one?

Otherwise, I am interested in model selection techniques which can be implemented in R for logistic models.

My sole concern is predictive ability. The data has many covariates (or features) and I would like to investigate up to 3rd or even 4th level interactions and 2nd order terms, this is several thousand covariates (there are ~200k observations) so it is important that the techniques are fast.

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Package mht does seem to contain facilities for running a bolasso analysis in R. Alas, the package has been archived, and is not available for the current release (3.0.1) as, e.g., a Windows binary.

However, past versions are available from, e.g.:

http://cran.r-project.org/src/contrib/Archive/mht/mht_2.011.tar.gz http://cran.r-project.org/bin/windows/contrib/2.14/mht_2.011.zip

If you can compile the package yourself (modifications of the package might be required) or you still have access to R 2.14, you can use the packages from these urls.

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