glmnet - variable importance?

Question

I´m using the glmnet package to perform a LASSO regression. Is there a way to get the importance of the individual variables that were selected? I thought about ranking the coef

Answer 1

Before you compare the magnitudes of the coefficients you should normalize them by multiplying each coefficent by the standard deviation of the corresponding predictor. This answer has more detail and useful links: https://stats.stackexchange.com/a/211396/34615