screen_cpp: Sure Independence Screening in Step 2

In hugogogo/sprintr: Sparse Reluctant Interaction Modeling

Description

Sure Independence Screening in Step 2

Usage

screen_cpp(x, y, num_keep, square = FALSE, main_effect = FALSE)

Arguments

x	a n-by-p matrix of main effects, with i.i.d rows, and each row represents a vector of observations of p main-effects
y	a vector of length n. In sprinter, y is the residual from step 1
num_keep	the number of candidate interactions in Step 2. Default to be n / [log n]
square	An indicator of whether squared effects should be considered in Step 1 (NOT Step 2!). square == TRUE if squared effects have been considered in Step 1, i.e., squared effects will NOT be considered in Step 2.
main_effect	An indicator of whether main effects should also be screened. Default to be false. The functionality of main_effect = true is not used in sprinter, but for SIS_lasso.

Value

an matrix of 3 columns, representing the index pair of the selected interactions, and the corresponding absolute correlation with the residual.

hugogogo/sprintr documentation built on Dec. 14, 2021, 6:07 p.m.