fitted_values_cv: Fitted values for a subset of active variables

In plasso: Cross-Validated (Post-) Lasso

Fitted values for a subset of active variables

Description

fitted_values_cv extracts the active set from X^TX and X^Ty to get out-of-sample predictions for a matrix already containing only the active variables. The function is only relevant for cases where at least one variable is selected.

Usage

fitted_values_cv(XtX_all, Xty_all, x_pred, nm_act)

Arguments

XtX_all	Cross product of all covariates
Xty_all	Cross product of covariates and outcome
x_pred	Covariates matrix of the prediction sample
nm_act	Names of active variables

Value

Fitted values in the prediction sample.

plasso documentation built on May 29, 2024, 6:46 a.m.