Description Usage Arguments Value Author(s) References
Variance estimation using refitted cross-validation in ultrahigh dimensional regression.
1 |
y |
response variable. Quantitative for family= |
X |
input matrix, of dimension n x p; each row is an observation vector. |
cv |
when FALSE, variance is estimated using Refitted Cross Validation in Fan et al. 2012; and when TRUE, it is estimated using cross validation as in Reid et al. 2013. Default is FALSE. |
fit |
A user supplied |
intercept |
should intercept(s) be fitted (default=TRUE) or set to zero (FALSE). |
Estimator of σ
Jianqing Fan, Shaojun Guo. Modified by Jairo Diaz.
Jianqing Fan, Shaojun Guo and Ning Hao. Variance estimation using refitted cross-validation in ultrahigh dimensional regression. Journal of the Royal Statistical Society: Series B. 2012
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