multi.adlasso: Multi-split Adaptive Lasso

In HCTR: Higher Criticism Tuned Regression

Description

Multi-splitted variable selection using Adaptive Lasso

Usage

multi.adlasso(X, Y, covar.num = NULL, fold.num)

Arguments

X	An input matrix, of dimension nobs x nvars.
Y	A numeric response vector, containing nobs variables.
covar.num	Number of covariates in model, default is NULL.
fold.num	The number of cross validation folds.

Value

A list of two numeric objects of index of (1) selected and (2) unselected variables.

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