Weight option in Lasso

[wagfoliveira]

Hi!

I would like to understand why only rlasso has the option for inputing weights via [aw = weight] or [pw = weight], while lasso2 and cvlasso do not.

I ask that considering the difference between the three is just how the "best" model is selected (via information criterion in lasso2, cross-validation in cvlasso and the data-driven penalty in rlasso).

Thanks!