optimal_alphas: Title optimal alphas function

In lucasgodeiro/TextForecast: Regression Analysis and Forecasting Using Textual Data from a Time-Varying Dictionary

Description

Title optimal alphas function

Usage

optimal_alphas(x, w, y, grid_alphas, cont_folds, family)

Arguments

x	A matrix of variables to be selected by shrinkrage methods.
w	A matrix or vector of variables that cannot be selected(no shrinkrage).
y	response variable.
grid_alphas	a grid of alphas between 0 and 1.
cont_folds	Set TRUE for contiguous folds used in time depedent data.
family	The glmnet family.

Value

lambdas_opt a vector with the optimal alpha and lambda.

Examples

set.seed(1)
data("stock_data")
data("news_data")
y=as.matrix(stock_data[1:200,2])
w=as.matrix(stock_data[1:200,3])
data("news_data")
X=news_data[1:200,2:ncol(news_data)]
x=as.matrix(X)
grid_alphas=seq(by=0.25,to=1,from=0.5)
cont_folds=TRUE
t=length(y)
optimal_alphas=optimal_alphas(x[1:(t-1),],
w[1:(t-1),],y[2:t],grid_alphas,TRUE,"gaussian")

lucasgodeiro/TextForecast documentation built on Sept. 19, 2019, 3:41 a.m.