toeplitz: Simulated 'Toeplitz' Data

In plasso: Cross-Validated (Post-) Lasso

Simulated 'Toeplitz' Data

Description

Simulated data from a DGP with an underlying causal relationship between covariates X and the target y. The covariates matrix X consists of 10 variables whose effect size on target y is defined by the vector c(1, -0.83, 0.67, -0.5, 0.33, -0.17, 0, ..., 0) with the first six effect sizes decreasing in absolute terms continuously from 1 to 0 and alternating in their sign. The true causal effect of all other covariates is 0. The variables in X follow a normal distribution with mean zero while the covariance matrix follows a Toeplitz matrix. The target y is then a linear transformation of X plus a vector of standard normal random variables (i.e. error term). (See vignette for more details.)

Usage

data(toeplitz)

Format

An object of class standardGeneric of length 1.

Examples

# load toeplitz data
data(toeplitz)
# extract target and features from data
y = as.matrix(toeplitz[,1])
X = toeplitz[,-1]
# fit cv.plasso to the data
p.cv = plasso::cv.plasso(X,y)

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