Description Details Author(s) References
Selection of a threshold parameter λ for GLM-lasso and Square-root lasso. The method consists in considering a null model, finding the theoretical distribution of the threshold parameter under the null, and setting λ to an upper quantile of that distribution. Although this strategy does not use the data to select λ but simply considers the behavior under the null model, it provides a theoretically and computationally sound selection.
Package: | QUT |
Type: | Package |
License: | GPL-2 |
Jairo Diaz Rodriguez <jairo.diaz@unige.ch>
C. Giacobino, J. Diaz Rodriguez, S. Sardy, N. Hengartner. Quantile universal threshold for model selection. 2016
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