screen_variables: Screen variable before penalized regression

In MESS: Miscellaneous Esoteric Statistical Scripts

Screen variable before penalized regression

Description

Expands a contingency table to a data frame where each observation in the table becomes a single observation in the data frame with corresponding information for each for each combination of the table dimensions.

Usage

screen_variables(x, y, lambda = 0.1, method = c("global-strong", "global-DPP"))

Arguments

x	A table or matrix
y	A vector of outcomes
lambda	a vector of positive values used for the penalization parameter.
method	a string giving the method used for screening. Two possibilities are "global-strong" and "global-DPP"

Details

Note that no standardization is done (not necessary?)

Value

A list with three elements: lambda which contains the lambda values, selected which contains the indices of the selected variables, and method a string listing the method used.

Author(s)

Claus Ekstrom [e-mail]

References

Hastie, Tibshirani and Wainwright (2015). "Statistical Learning with Sparsity". CRC Press.

Examples

x <- matrix(rnorm(50*100), nrow=50)
y <- rnorm(50, mean=x[,1])
screen_variables(x, y, lambda=c(.1, 1, 2))

MESS documentation built on Aug. 21, 2023, 1:05 a.m.