get_ocv: Fast calculate leave one out cross validation error (OCV)

In g-l-mansell/RcppRidge: Parallel Bayesian Ridge Regression

Description

Fast calculate OCV given a singular value decomposition (SVD) decomposition of data matrix X

Usage

get_ocv(X, y, lambda, U, s)

Arguments

X	Data matrix
y	Column matrix of responses
lambda	Numeric hyperparameter controlling the strength of the L2 penalisation (non-negative)
U	Matrix U from SVD of X = UDV
s	Elements of diagonal matrix D from SVD of X = UDV

Value

Numeric OCV

g-l-mansell/RcppRidge documentation built on Dec. 20, 2021, 9:43 a.m.