R/complexity.LASSO.R

In peperr: Parallelised Estimation of Prediction Error

Defines functions complexity.LASSO

Documented in complexity.LASSO

complexity.LASSO <- function(response, x, full.data, ...){
   #requireNamespace(penalized)
   prof <- penalized::profL1(response=response, penalized=x, trace=FALSE, ...)
   lambda <- prof$lambda[which.max(prof$cvl)]
   lambda
}

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