plot.pense_fit: Plot Method for Penalized Estimates

In pense: Penalized Elastic Net S/MM-Estimator of Regression

Plot Method for Penalized Estimates

Description

Plot the coefficient path for fitted penalized elastic net S- or LS-estimates of regression.

Usage

## S3 method for class 'pense_fit'
plot(x, alpha, ...)

Arguments

x	fitted estimates.
alpha	Plot the coefficient path for the fit with the given hyper-parameter value. If missing of NULL, the first value in x$alpha is used.
...	currently ignored.

See Also

Other functions for plotting and printing: plot.pense_cvfit(), prediction_performance(), summary.pense_cvfit()

Examples

# Compute the PENSE regularization path for Freeny's revenue data
# (see ?freeny)
data(freeny)
x <- as.matrix(freeny[ , 2:5])

regpath <- pense(x, freeny$y, alpha = 0.5)
plot(regpath)

# Extract the coefficients at a certain penalization level
coef(regpath, lambda = regpath$lambda[[1]][[40]])

# What penalization level leads to good prediction performance?
set.seed(123)
cv_results <- pense_cv(x, freeny$y, alpha = 0.5,
                       cv_repl = 2, cv_k = 4)
plot(cv_results, se_mult = 1)

# Extract the coefficients at the penalization level with
# smallest prediction error ...
coef(cv_results)
# ... or at the penalization level with prediction error
# statistically indistinguishable from the minimum.
coef(cv_results, lambda = '1-se')

pense documentation built on Feb. 16, 2023, 9:36 p.m.