Description Usage Arguments Details Value Author(s) Examples
Cross-validated Lasso screening and sqrt-truncation.
1 | screen_cvsqrt.lasso(x, y)
|
x |
Predictor matrix. |
y |
Response vector. |
Computes Lasso coefficients (cross-validation optimal lambda). Truncates smallest coefficients to zero, such that there are no more than sqrt(n) non-zero coefficients.
Active-set.
n.stadler
1 | screen_cvsqrt.lasso(matrix(rnorm(5000),50,100),rnorm(50))
|
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