copulalasso: Copula lasso

In PengSU517/robcovsel: Robust variable selection based on covariance matrix

Copula lasso

Description

Copula lasso

Usage

copulalasso(
  x,
  y,
  cor.method = "gaussrank",
  scale.method = "qn",
  center.method = "median",
  adaptive = TRUE
)

Arguments

x	input design matrix
y	input response vector
cor.method	could be "pearson" or "gaussrank"
scale.method	"sd" or "qn"
center.method	mean or median
adaptive	lasso or adaptive lasso

Value

betahat_opt, the optimal estimation of beta obtained from this algorithm

lambda_opt is the optimal tuning parameter and sigma_opt is the optimal estimation of sigma.

The output also includes the estimated correlation matrix, the estimated covariance matrix others.

PengSU517/robcovsel documentation built on Sept. 13, 2023, 1 a.m.