R/relsharp_mean.R

In sharpPen: Penalized Data Sharpening for Local Polynomial Regression

relsharp_mean <- function(y, alpha) {
    y_m<-diff(y)
    ysharpMat<-matrix(0,nrow=length(y),ncol=length(alpha))
    Mat_diff<-matrix(0,nrow=length(y)-1,ncol=length(y))
    for (j in 1:length(y)-1){
        Mat_diff[j,j]<--1
        Mat_diff[j,j+1]<-1
    }
    for (i in 1:length(alpha)){
      #ridge, lasso and e-net
      a<-alpha[i]
      fit_m<-cv.glmnet(Mat_diff,y_m,intercept=FALSE,alpha=a)
      gamma_m<-coef(fit_m,fit_m$lambda.min)[-1]
      newy_m<-y-gamma_m
      ysharpMat[,i]<-newy_m
    }
ysharpMat
}