Double Cross validation for LASSO

Alex,

?I am looking for a code on double cross validation in
LASSO , one for optimizing the parameter and other one is for MSEP. If any
one have it, please foroward to me. I am using different ?package like LARS,
chemometric etc.

It won't do double cross-validation, but the caret package can be used
to tune similar models using different forms of cross-validation or
the bootstrap. Currently, the elasticnet, the lasso (via the
elasticnet) and models from the penalized package can be used. I have
a devel version with glmnet in it too. I could always add LARS to
caret. See

   http://cran.r-project.org/web/packages/caret/index.html
   http://www.jstatsoft.org/v28/i05

Of course, there is always lars:::cv.lars too.

Max