find_independent_regression_vectors.glmnet_multivariate | R Documentation |
find_independent_regression_vectors
tries to find a situation where K variables
are selected, so that the selected columns of matrix Xp are independent.
find_independent_regression_vectors.glmnet_multivariate(Xp, K, fit, root)
Xp |
(transformed) matrix of regression |
K |
number of non-zero components allowed |
root |
integer, position of the root column (intercept) excluded from the fit. null if no root column. |
To do that, if a set of selected is not independent, we go back to the previous selected variables, and forbid the moves that led to non-independence for the rest of the path.
delta a vector of regression with K non-zero coefficients.
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