summary.l2.reg: Print all results of Cyclic Coordinate Descent for L2...

In CDLasso: Coordinate Descent Algorithms for Lasso Penalized L1, L2, and Logistic Regression

Description

Print full summary of results of Cyclic Coordinate Descent for L2 Regression.

Usage

## S3 method for class 'l2.reg'
summary(object, ...)

Arguments

object	Output of l2.reg. Must be of class "l2.reg"
...	N/A

Details

summary.l2.reg produces full output from l2.reg. For selected output, see print.l2.reg.

Value

X	The design matrix.
Y	The outcome variable for cases.
cases	The number of cases
predictors	The number of predictors
lambda	The value of penalization parameter lambda used.
objective	The value of the objective function
residual	A vector of length p listing the residuals
L2	The sum of the residuals
estimate	The estimate of the coefficients
nonzeros	The name of "selected" variables included in the model.
selected	The name of the "selected" variables included in the model.

Author(s)

Edward Grant, Kenneth Lange, Tong Tong Wu

Maintainer: Edward Grant [e-mail]

References

Wu, T.T. and Lange, K. (2008). Coordinate Descent Algorithms for Lasso Penalized Regression. Annals of Applied Statistics, Volume 2, No 1, 224-244.

See Also

summary.l2.reg

l2.reg

Examples

set.seed(100)
n=500
p=2000
nz = c(1:5)
true.beta<-rep(0,p)
true.beta[nz] = c(1,1,1,1,1)

x=matrix(rnorm(n*p),p,n)
y = t(x) %*% true.beta

rownames(x)<-1:nrow(x)
colnames(x)<-1:ncol(x)

#Lasso penalized L2 regression
out<-l2.reg(x,y,lambda=2)

#Re-estimate parameters without penalization
out2<-l2.reg(x[out$selected,],y,lambda=0)
summary(out2)

CDLasso documentation built on May 1, 2019, 8:02 p.m.