View source: R/lasso_param.est.R
estimate_lasso_parameters | R Documentation |
Determine the lambda in lasso procedure emperically
estimate_lasso_parameters( predictor, p_star_hat, gamma, penalty, prior, adaptive, sd_multiplier, elastic_net = F )
predictor |
A signature matrix |
p_star_hat |
The regression target |
gamma |
Hyperparameter for adaptive LASSO |
penalty |
A vector of relative penalties on signatures |
prior |
A vector of relative penalties on signatures given as prior |
adaptive |
Boolean variable, perform adaptive LASSO or not |
sd_multiplier |
How many SD should be tolerated from min MSE |
elastic_net |
Use Elastic_net instead of LASSO? |
Returns a list of updated parameters including lambda picked, predictors used, a sequence of lambdas searched, alpha (elastic net) picked and the OLS fitting results (for adpative LASSO)
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