estimate_nuisance_parameter_lasso: The function for nuisance parameter estimation in...

In HMC: High-Dimensional Mean Comparison with Projection and Cross-Fitting

The function for nuisance parameter estimation in anchored_lasso_testing().

Description

The function for nuisance parameter estimation in anchored_lasso_testing().

Usage

estimate_nuisance_parameter_lasso(
  nuisance_sample_1,
  nuisance_sample_2,
  pca_method = "sparse_pca",
  mean_method = "lasso",
  lasso_tuning_method = "min",
  num_latent_factor = 1,
  local_environment = local_environment,
  verbose = TRUE
)

Arguments

nuisance_sample_1	Group 1 sample. Each row is a subject and each column corresponds to a feature.
nuisance_sample_2	Group 2 sample. Each row is a subject and each column corresponds to a feature.
pca_method	Methods used to estimate principle component The default is "sparse_pca", using sparse PCA from package PMA. Other choices are "dense_pca"—the regular PCA; and "hard"— hard-thresholding PCA, which also induces sparsity.
mean_method	Methods used to estimate the discriminant direction. Default is logistic Lasso "lasso". Can also take value "lasso_no_truncation"
lasso_tuning_method	Method for Lasso penalty hyperparameter tuning. Default is "min", the minimizer of cross-validation error; users can also use "1se" for more sparse solutions.
num_latent_factor	The principle component that lasso coefficient anchors at. The default is PC1 = 1.
local_environment	An environment for hyperparameters shared between folds.
verbose	Print information to the console. Default is TRUE.

Value

A list of estimated nuisance quantities.

estimate_leading_pc	Leading principle components
estimate_mean_1	Sample mean for group 1
estimate_mean_2	Sample mean for group 1
estimate_lasso_beta	Logistic Lasso regression coefficients.
estimate_projection_direction	Anchored projection direction. It is similar to PC1 when signal is weak but similar to estimate_optimal_direction when the signal is moderately large.
estimate_optimal_direction	Discriminant direction.

HMC documentation built on June 8, 2025, 10:32 a.m.