cv.delta: Cross-validation function to select regularization parameter...
In rakheon/d2wlasso: Structured variable selection with weighted lasso

Description Usage Arguments Value References

Cross-validation function to select regularization parameter delta in the penalized loss criterion.

cv.delta(
  y1,
  X1,
  z.names,
  K = 10,
  est.MSE = c("est.var", "step")[1],
  show.plots
)

`y1`	(n by 1) matrix corresponding to the response variable.
`X1`	(n by L) matrix of main covariates where n is the sample size and L=m if z is NULL, and L= m+1 otherwise. Here, m refers to the number of x-covariates.
`z.names`	character denoting the column name of the z-covariate if z is not NULL. Can be NULL.
`K`	scalar denoting the number of folds for cross-validation when `penalty.choice` is "cv.mse" or "cv.penalized.loss". Default is 10.
`est.MSE`	character that indicates how the mean squared error is estimated in the penalized loss criterion when `penalty.choice` is "penalized.loss" or "cv.penalized.loss". Options are "est.var" which means the MSE is sd(y) * sqrt(n/(n-1)) where n is the sample size, and "step" which means we use the MSE from forward stepwise regression with AIC as the selection criterion. Default is "est.var".
`show.plots`	logical indicator. If TRUE and `penalty.choice` is "penalized.loss", a plot of the penalized loss criterion versus steps in the LARS algorithm of Efron et al (2004).

predict.out:output from LARS algorithm of Efron et al (2004).
delta.out:the penalization parameter delta obtained from K-fold cross validation.

Efron, B., Hastie, T., Johnstone, I. AND Tibshirani, R. (2004). Least angle regression. Annals of Statistics 32, 407–499.

Garcia, T.P. and M¨uller, S. (2014). Influence of measures of significance-based weights in the weighted Lasso. Journal of the Indian Society of Agricultural Statistics (Invited paper), 68, 131-144.

Garcia, T.P., Mueller, S., Carroll, R.J., Dunn, T.N., Thomas, A.P., Adams, S.H., Pillai, S.D., and Walzem, R.L. (2013). Structured variable selection with q-values. Biostatistics, DOI:10.1093/biostatistics/kxt012.

rakheon/d2wlasso documentation built on Feb. 26, 2020, 10:39 p.m.