adalasso.net: Partial Correlations with (Adaptive) Lasso

In parcor: Regularized estimation of partial correlation matrices

Description

This function computes the matrix of partial correlations based on an estimation of the corresponding regression models via lasso and adaptive lasso respectively.

Usage

adalasso.net(X, k = 10,use.Gram=FALSE,both=TRUE,verbose=FALSE,intercept=TRUE)

Arguments

X	matrix of observations. The rows of X contain the samples, the columns of X contain the observed variables.
k	the number of splits in k-fold cross-validation. The same k is used for the estimation of the weights and the estimation of the penalty term for adaptive lasso. Default value is k=10.
use.Gram	When the number of variables is very large, you may not want LARS to precompute the Gram matrix. Default is use.Gram=FALSE.
both	Logical. If both=FALSE, only the lasso solution is computed. Default is both=TRUE.
verbose	Print information on conflicting signs etc. Default is verbose=FALSE
intercept	Should an intercept be included in the regression models? Default is intercept=TRUE.

Details

For each of the columns of X, a regression model based on (adaptive) lasso is computed. In each of the k-fold cross-validation steps, the weights for adaptive lasso are computed in terms of a lasso fit. (The optimal value of the penalty term is selected via k-fold cross-validation). Note that this implies that a lasso solution is computed k*k times! Finally, the results of the regression models are transformed via the function Beta2parcor.

Value

pcor.adalasso	estimated matrix of partial correlation coefficients for adaptive lasso.
pcor.lasso	estimated matrix of partial correlation coefficients for lasso.

...

Author(s)

Nicole Kraemer

References

H. Zou (2006) "The Adaptive Lasso and its Oracle Property", Journal of the American Statistical Association. 101 (476): 1418-1429.

N. Kraemer, J. Schaefer, A.-L. Boulesteix (2009) "Regularized Estimation of Large-Scale Gene Regulatory Networks using Gaussian Graphical Models", BMC Bioinformatics, 10:384

http://www.biomedcentral.com/1471-2105/10/384/

See Also

Beta2parcor, adalasso

Examples

n<-20
p<-10
X<-matrix(rnorm(n*p),ncol=p)
pc<-adalasso.net(X,k=5)

parcor documentation built on May 1, 2019, 9:10 p.m.