Object of the penalty
class to handle the Improved Correlation-Based (ICB) Penalty (Ulbricht, 2010).
1 |
lambda |
two dimensional tuning parameter parameter. The first component corresponds to the regularization parameter λ_1 for the lasso penalty term, the second one λ_2 for the correlation-based penalty. Both parameters must be nonnegative. |
... |
further arguments |
The improved correlation-based (ICB) penalty is defined as
P_{λ}^{icb}(\boldsymbol{β}) = λ_1 |\boldsymbol{β}|_1 + \frac{1}{2}λ_2 \boldsymbol{β}^\top \mathbf{M}^{cb} \boldsymbol{β},
with tuning parameter λ = (λ_1, λ_2), where \mathbf{M}^{cb} = (m_{ij}) is determined by m_{ij} = 2∑_{s\neq i}\frac{1}{1-\varrho_{is}^2} if i = j, and m_{ij} = -2\frac{\varrho_{ij}}{1-\varrho_{ij}^2} otherwise. The ICB has been introduced to overcome the major drawback of the correlation based-penalized estimator, that is its lack of sparsity. See Ulbricht (2010) for details.
An object of the class penalty
. This is a list with elements
penalty |
character: the penalty name. |
lambda |
double: the (nonnegative) regularization parameter. |
getpenmat |
function: computes the diagonal penalty matrix. |
Jan Ulbricht
Ulbricht, Jan (2010) Variable Selection in Generalized Linear Models. Ph.D. Thesis. LMU Munich.
penalty
, penalreg
, licb
, weighted.fusion
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