indeplasso: Independent LASSO using summary statistics (a.k.a....

In SeojinHwang/scadsum: nonconvex penalty with summary statistics and a reference panel

Independent LASSO using summary statistics (a.k.a. soft-thresholding)

Description

Independent LASSO using summary statistics (a.k.a. soft-thresholding)

Usage

indeplasso(coef, lambda = exp(seq(log(0.001), log(0.1), length.out = 20)))

Arguments

coef	vector of regression coefficients (r)
lambda	a vector of \lambdas

Details

A function to find the minimum of \beta in

f(\beta)=\beta'\beta - 2\beta'r + 2\lambda||\beta||_1

where r is the vector of regression coefficients. The analytical solution is given by

\hat{\beta}=sign(r)(max(|r| - \lambda))

Value

A list with the following

lambda	Same as lambda in input
beta	A matrix of estimates of \beta

SeojinHwang/scadsum documentation built on June 30, 2023, 10:52 p.m.