View source: R/tv_dictionary.R
tv_dictionary | R Documentation |
tv dictionary function
tv_dictionary(x, w, y, alpha, lambda, newx, family)
x |
A matrix of variables to be selected by shrinkrage methods. |
w |
Optional Argument. A matrix of variables to be selected by shrinkrage methods. |
y |
the response variable. |
alpha |
the alpha required in glmnet. |
lambda |
the lambda required in glmnet. |
newx |
Matrix that selection will applied. Useful for time series, when we need the observation at time t. |
family |
the glmnet family. |
X_star: a list with the coefficients and a sparse matrix with the most predictive terms.
set.seed(1) data("stock_data") data("news_data") y=as.matrix(stock_data[1:200,2]) w=as.matrix(stock_data[1:200,3]) data("news_data") X=news_data[1:200,2:ncol(news_data)] x=as.matrix(X) grid_alphas=seq(by=0.5,to=1,from=0.5) cont_folds=TRUE t=length(y) optimal_alphas=optimal_alphas(x[1:(t-1),],w[1:(t-1),], y[2:t],grid_alphas,TRUE,"gaussian") x_star=tv_dictionary(x=x[1:(t-1),],w=w[1:(t-1),],y=y[2:t], alpha=optimal_alphas[1],lambda=optimal_alphas[2],newx=x,family="gaussian")
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