Description Usage Arguments Details Value Author(s) Examples
Cross-validated Lasso screening and additional truncation.
1 | screen_cvtrunc.lasso(x, y, k.trunc = 5)
|
x |
Predictor matrix. |
y |
Response vector. |
k.trunc |
Truncation constant="number of samples per predictor" (default=5). |
Computes Lasso coefficients (cross-validation optimal lambda). Truncates smallest coefficients to zero, such that there are no more than n/k.trunc non-zero coefficients.
Active-set.
n.stadler
1 | screen_cvtrunc.lasso(matrix(rnorm(5000),50,100),rnorm(50))
|
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