est.lambda: Estimated Lambda

In HCTR: Higher Criticism Tuned Regression

Description

Estimate upper and lower bound of new tuning region of regularization parameter Lambda.

Usage

est.lambda(cv.fit, pihat, p, cov.num = 0)

Arguments

cv.fit	An object of either class "cv.glmnet" from glmnet::cv.glmnet() or class "cv.ncvreg" from ncvreg::cv.ncvreg(), which is a list generated by a cross-validation fit.
pihat	eatimated proprtion from HCTR::est.prop().
p	Total number of variables, except for covariates.
cov.num	Number of covariates in model, default is 0. Covariate matrix, W, is assumed on the left side of variable matrix, X. The column index of covariates are before those of variables.

Value

A list of (1) lambda.max, upper bound of new tuning region; (2) lambda.min, lower bound of new tuning region.

Examples

set.seed(10)
X <- matrix(rnorm(20000), nrow = 100)
beta <- rep(0, 200)
beta[1:100] <- 5
Y <- MASS::mvrnorm(n = 1, mu = X%*%beta, Sigma = diag(100))
fit <- glmnet::cv.glmnet(x = X, y = Y)
pihat <- 0.01
result <- est.lambda(cv.fit = fit, pihat = pihat, p = ncol(X))

HCTR documentation built on Dec. 1, 2019, 1:21 a.m.