solve_scaled_lasso: Scaled lasso

In abichat/zazou: Z-Scores As Ornstein-Uhlenbeck

Description

Scaled lasso to compute beta_init and hsigma.

Usage

solve_scaled_lasso(y, X, lambda = NULL, beta0, ...)

Arguments

y	A vector of size m.
X	A vector of size m*(n+m).
lambda	A regularization parameter. If NULL, a universal value is chosen.
beta0	Initial value for beta.
...	Further arguments passed to or from other methods.

Value

A list composed by par (beta estimate) and sigma_scaledlasso among others.

abichat/zazou documentation built on Sept. 8, 2021, 6:53 a.m.