cva.glmnet: Cross-validation of alpha for glmnet

In nestedcv: Nested Cross-Validation with 'glmnet' and 'caret'

Cross-validation of alpha for glmnet

Description

Performs k-fold cross-validation for glmnet, including alpha mixing parameter.

Usage

cva.glmnet(x, y, nfolds = 10, alphaSet = seq(0.1, 1, 0.1), foldid = NULL, ...)

Arguments

x	Matrix of predictors
y	Response vector
nfolds	Number of folds (default 10)
alphaSet	Sequence of alpha values to cross-validate
foldid	Optional vector of values between 1 and nfolds identifying what fold each observation is in.
...	Other arguments passed to cv.glmnet

Value

Object of S3 class "cva.glmnet", which is a list of the cv.glmnet objects for each value of alpha and alphaSet.

fits	List of fitted cv.glmnet objects
alphaSet	Sequence of alpha values used
alpha_cvm	The mean cross-validated error - a vector of length length(alphaSet).
best_alpha	Value of alpha giving lowest alpha_cvm.
which_alpha	Index of alphaSet with lowest alpha_cvm

Author(s)

Myles Lewis

See Also

cv.glmnet, glmnet

nestedcv documentation built on Oct. 26, 2023, 5:08 p.m.