screen_cvtrunc.lasso: Cross-validated Lasso screening and additional truncation.

Description Usage Arguments Details Value Author(s) Examples

View source: R/diffregr.R

Description

Cross-validated Lasso screening and additional truncation.

Usage

1
screen_cvtrunc.lasso(x, y, k.trunc = 5)

Arguments

x

Predictor matrix.

y

Response vector.

k.trunc

Truncation constant="number of samples per predictor" (default=5).

Details

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.

Value

Active-set.

Author(s)

n.stadler

Examples

1

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