screen_cvsqrt.lasso: Cross-validated Lasso screening and sqrt-truncation.

Description Usage Arguments Details Value Author(s) Examples

View source: R/diffregr.R

Description

Cross-validated Lasso screening and sqrt-truncation.

Usage

1

Arguments

x

Predictor matrix.

y

Response vector.

Details

Computes Lasso coefficients (cross-validation optimal lambda). Truncates smallest coefficients to zero, such that there are no more than sqrt(n) non-zero coefficients.

Value

Active-set.

Author(s)

n.stadler

Examples

1

nethet documentation built on Nov. 8, 2020, 6:54 p.m.