PMLE: Penalized MLE procedure used in the cleaning step

In ScreenClean: Screen and clean variable selection procedures

Description

Penalized MLE procedure used in the cleaning step, an inner function.

Usage

PMLE(gram, y, lambda, uu)

Arguments

gram	the sub gram matrix of the small scale quadratic problem.
y	the sub-vector of y.tilde
lambda	the tuning parameter of the cleaning step, tied to the sparse level.
uu	the tuning parameters of the cleaning step. It has the intuitive interpretation of the minimal signal strength to be detected.

Value

b	the estimate of the subvector of beta

See Also

CleaningStep

ScreenClean documentation built on May 2, 2019, 9:27 a.m.