qut-package: Quantile Universal Threshold

Description Details Author(s) References

Description

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.

Details

Package: QUT
Type: Package
License: GPL-2

Author(s)

Jairo Diaz Rodriguez <jairo.diaz@unige.ch>

References

C. Giacobino, J. Diaz Rodriguez, S. Sardy, N. Hengartner. Quantile universal threshold for model selection. 2016


qut documentation built on Jan. 19, 2021, 5:09 p.m.