Description Usage Arguments Value
Multi-splitted variable selection using Lasso
1 | multi.lasso(X, Y, p.fac = NULL, fold.num)
|
X |
An input matrix, of dimension nobs x nvars. |
Y |
A numeric response vector, containing nobs variables. |
p.fac |
A sequence of penalty factor applied on each variable. |
fold.num |
The number of cross validation folds. |
A list of two numeric objects of index of (1) selected and (2) unselected variables.
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