sample_weight for lasso, elastic etc · Issue #3702 · scikit-learn/scikit-learn · GitHub

10000 sample_weight for lasso, elastic etc · Issue #3702 · scikit-learn/scikit-learn · GitHub

sample_weight for lasso, elastic etc #3702

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sample_weight for lasso, elastic etc#3702

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EnhancementModeratehelp wantedmodule:linear_model

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on Sep 25, 2014

I am using lasso for time-series data and I would like to decay old data with a weight vector. Any reason why this is not available for lasso?

Meanwhile, if I fit lasso with X = dot(sqrt(diag(weights)), X) and y = dot(sqrt(diag(weights)), y), would it mean the same thing?

Thanks!

Edit:
TODOs

sample_weight support in Lasso and ElasticNet (solved in [MRG] Sample weights for ElasticNet #15436)
sample_weight support for ElasticNetCV [MRG] Sample weights for ElasticNetCV #16449
sample_weight in combination with sparse X ENH add sample_weight to sparse coordinade descent #22808

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