select_kfold: K-fold cross validation neghborhood lasso selection

In desanou/mglasso: Multiscale Graphical Lasso

K-fold cross validation neghborhood lasso selection

Description

K-fold cross validation neghborhood lasso selection

Usage

select_kfold(
  X,
  Thetas,
  lambdas = NULL,
  n_lambda,
  K_fold = 10,
  criterion = "ploglik",
  verbose = TRUE
)

Arguments

criterion

c("ploglik", "rmse")

Details

if criterion = "ploglik" use pseudo-log likelihood formula from Huge paper with matrix approach if "rmse" use mean squarred prediction error

desanou/mglasso documentation built on July 1, 2023, 6:39 a.m.