lasso_coef_diff: Importance statistics based on Lasso coefficient

In hanfu-bios/varsel: Model-Free Knockoffs Filter for Controlled Variable Selection

Description

This function provides importance scores for variables (including the knockoffs) in order to compute statistics. The variable importance is measured by Lasso coefficient.

Usage

lasso_coef_diff(Xaug, y, family = Gaussian())

Arguments

Xaug	augmented design matrix combining original predictors and knockoff variables
y	response vector, or a survival object with two columns
family	Binomial(), Binomial(link = “logit”, type=”glm”), Gaussian(), Poisson(), CoxPH(), Cindex(), GammaReg(), NBinomial(), Weibull(), Loglog(), Lognormal(), etc. See mboost documentation for details.

Value

2p vector containing varible importance for both orginal variables and knockoff variables

hanfu-bios/varsel documentation built on March 19, 2018, 10:08 a.m.