allpred_index: Constructing index coefficient vectors with all predictors in...

In smimodel: Sparse Multiple Index Models for Nonparametric Forecasting

Constructing index coefficient vectors with all predictors in each index

Description

Constructs vectors of coefficients for each index including a coefficient for all the predictors that are entering indices. i.e. if a coefficient is not provided for a particular predictor in a particular index, the function will replace the missing coefficient with a zero.

Usage

allpred_index(num_pred, num_ind, ind_pos, alpha)

Arguments

num_pred	Number of predictors.
num_ind	Number of indices.
ind_pos	A list of length = num_ind that indicates which predictors belong to which index.
alpha	A vector of index coefficients.

Value

A list containing the following components:

alpha_init_new	A numeric vector of index coefficients.
index	An integer vector that assigns group indices for each predictor.
index_positions	A list of length = num_ind that indicates which predictors belong to which index.

smimodel documentation built on April 8, 2026, 5:06 p.m.