# LASSO or step-wise regression for Julia

**URL:** <https://discourse.julialang.org/t/lasso-or-step-wise-regression-for-julia/62061>\
**Category:** Statistics\
**Created:** [May 29, 2021, 9:35pm UTC](https://discourse.julialang.org/t/lasso-or-step-wise-regression-for-julia/62061 "2021-05-29T21:35:15Z")\
**Posts on this page:** 8\
**Page:** 1

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**Author:** ![Babou](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/babou/32/22003_2.png) [@Babou](https://discourse.julialang.org/u/Babou)\
**Post date:** [May 29, 2021, 9:35pm UTC](https://discourse.julialang.org/t/lasso-or-step-wise-regression-for-julia/62061/1 "2021-05-29T21:35:15Z")

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I want to write a julia script to run a linear mixed model with a lasso regression as my code in R is quite slow. Is there a package that works with the mixed models package that implements lasso or stepwise regression?

I will be using [MixedModels.jl Documentation · MixedModels](https://juliastats.org/MixedModels.jl/dev/).

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**Author:** ![xiaodai](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/xiaodai/32/15937_2.png) [@xiaodai](https://discourse.julialang.org/u/xiaodai)\
**Post date:** [May 30, 2021, 2:16am UTC](https://discourse.julialang.org/t/lasso-or-step-wise-regression-for-julia/62061/2 "2021-05-30T02:16:28Z")

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probably waiting for ppl to write one [https://github.com/FixedEffects/FixedEffectModels.jl](https://github.com/FixedEffects/FixedEffectModels.jl)

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**Author:** ![ParadaCarleton](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/paradacarleton/32/20005_2.png) [@ParadaCarleton](https://discourse.julialang.org/u/ParadaCarleton)\
**Post date:** [May 28, 2022, 10:45pm UTC](https://discourse.julialang.org/t/lasso-or-step-wise-regression-for-julia/62061/3 "2022-05-28T22:45:24Z")

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> **[GitHub - JuliaStats/Lasso.jl: Lasso/Elastic Net linear and generalized linear...](https://github.com/JuliaStats/Lasso.jl)**
>
> Lasso/Elastic Net linear and generalized linear models - GitHub - JuliaStats/Lasso.jl: Lasso/Elastic Net linear and generalized linear models

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**Author:** ![huang\_min](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/huang_min/32/34337_2.png) [@huang\_min](https://discourse.julialang.org/u/huang_min)\
**Post date:** [May 29, 2022, 8:07am UTC](https://discourse.julialang.org/t/lasso-or-step-wise-regression-for-julia/62061/4 "2022-05-29T08:07:30Z")

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This does not work for mixed models.

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**Author:** ![palday](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/palday/32/12640_2.png) [@palday](https://discourse.julialang.org/u/palday)\
**Post date:** [June 7, 2022, 1:39am UTC](https://discourse.julialang.org/t/lasso-or-step-wise-regression-for-julia/62061/5 "2022-06-07T01:39:32Z")

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It does not. I have started working on [a package for mixed models with regularized fixed effects](https://github.com/palday/RegularizedMixedModels.jl), but I won’t have more time to make it fully functional for several weeks.

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**Author:** ![Babou](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/babou/32/22003_2.png) [@Babou](https://discourse.julialang.org/u/Babou)\
**Post date:** [August 30, 2022, 6:09pm UTC](https://discourse.julialang.org/t/lasso-or-step-wise-regression-for-julia/62061/6 "2022-08-30T18:09:15Z")

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While nice this is not a mixed model.

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**Author:** ![Babou](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/babou/32/22003_2.png) [@Babou](https://discourse.julialang.org/u/Babou)\
**Post date:** [August 30, 2022, 6:10pm UTC](https://discourse.julialang.org/t/lasso-or-step-wise-regression-for-julia/62061/7 "2022-08-30T18:10:02Z")

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Hey any chance you finished this? I did my analysis in R in the end but would be curious if you managed to complete your work.

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**Author:** ![evangorstein](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/evangorstein/32/209052_2.png) [@evangorstein](https://discourse.julialang.org/u/evangorstein)\
**Post date:** [May 6, 2024, 2:29pm UTC](https://discourse.julialang.org/t/lasso-or-step-wise-regression-for-julia/62061/8 "2024-05-06T14:29:26Z")

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I’ve written a package for estimating high dimensional mixed effect models: [GitHub - solislemuslab/HighDimMixedModels.jl](https://github.com/solislemuslab/HighDimMixedModels.jl). The fitting procedure uses a coordinate gradient descent method to maximize a penalized likelihood