Comments on Weighted Lasso example with held-out test set

[ksehic]

Hi @QB3 @mathurinm

About the weighted Lasso example, it seems you are using kfold for training sparse-ho crossval function, then why are you passing indices in heldout function line 80? It should be HeldOutMSE(None, None)?

It would be nice when you are splitting to have X_train y_test instead of passing again X and y. I have noticed that the number of training samples could be too small. As you can see if we have more samples, sparse-ho is doing better....

[QB3]

It should be HeldOutMSE(None, None)?

Yes you are right! thx!

[QB3]

Btw I think I should replace 'WeightedLasso val' by 'WeightedLassoCV' wdyt?

[mathurinm]

and put LassoCV test, too ?