Summary statistics in glmnet

Question

I have been working on a data set and using glmnet for linear LASSO/Ridge regressions.

For the sake of simplicity, let's assume that the model I am using is the following:

cv.glmnet(train.features, train.response, alpha=1, nlambda=100, type.measure = "mse", nfolds = 10)

I'm preparing a presentation for a client and I need to show the T-stats of variables and R-squared values. In addition, I also need to plot the residuals against the fitted values of the model.

Before creating the functions to do this from scratch, I wanted to ask whether or not this is already covered in the library. I have checked the glmnet vignette but did not find anything.

Thanks for your help!

Answer 1

A partial answer to your question: The plotres function in the plotmo R package is an easy way to plot residuals for a wide variety of models, including glmnet and cv.glmnet models. The plotres vignette included with the package has details. For example

library(glmnet)
data(longley)
mod <- glmnet(data.matrix(longley[,1:6]), longley[,7])
library(plotmo) # for plotres
plotres(mod)

gives the following plot. You can select subplots and modify the plots by passing the appropriate arguments to plotres.