microLASSO: Simplest Case of LASSO Regression

In MiscMath: Miscellaneous Mathematical Tools

Simplest Case of LASSO Regression

Description

Simple linear regression estimators for slope, intercept and noise standard deviation with absolute value penalty on slope.

Usage

microLASSO(x, y, lambda)

Arguments

x	a numeric vector of covariate values
y	a numeric vector of response values
lambda	a numeric constant which should be nonnegative

Value

a list consisting of

Coefficients	a numeric vector containing intercept and slope estimates
RMSE	a numeric constant containing the (penalized) maximum likelihood estimate of the noise standard deviation

Examples

x <- runif(30)
y <- x + rnorm(30)
microLASSO(x, y, lambda = 0.5)

MiscMath documentation built on April 13, 2025, 9:07 a.m.