init_alpha: Initialising index coefficients

In smimodel: Sparse Multiple Index Models for Nonparametric Forecasting

Initialising index coefficients

Description

Initialises index coefficient vector through linear regression or penalised linear regression.

Usage

init_alpha(
  Y,
  X,
  index.ind,
  init.type = "penalisedReg",
  lambda0 = 1,
  lambda2 = 1,
  M = 10
)

Arguments

Y	Column matrix of response.
X	Matrix of predictors entering indices.
index.ind	An integer vector that assigns group index for each predictor.
init.type	Type of initialisation for index coefficients. ("penalisedReg" - Penalised linear regression; "reg" - Linear regression)
lambda0	If init.type = "penalisedReg", penalty parameter for L0 penalty.
lambda2	If init.type = "penalisedReg", penalty parameter for L2 penalty.
M	If init.type = "penalisedReg", the big-M value to be used in the MIP.

Value

A list containing the following components:

alpha_init	Normalised vector of index coefficients.
alpha_nonNormalised	Non-normalised (i.e. prior to normalising) vector of index coefficients.

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