Wrapper.Glmnet: Wrapper function for using glmnet

In sebastianandersson/FMA: Frequentist Model Averaging

Description

This function is a wrapper for choosing the bandwidth in glmnet and then predicting using this choice.

Usage

Wrapper.Glmnet(alphaval, Xdata, ydata, Xnewdata, mu,
               prediction = TRUE, include.intercept = 1) 

Arguments

alphaval	The choice of alpha in glmnet. 0 corresponds to the Lasso, 1 to ridge.
Xdata	The design matrix. Inclusion of a constant vector is not necessary.
ydata	The response vector.
Xnewdata	The data to use for prediction.
mu	The true mean vector to use for computing MSE of predictions.
prediction	If predictions should be evaluated (and not beta).
include.intercept	If intercept.

Value

Returns a scalar value with the MSE of the prediction of the mean vector.

See Also

glmnet, cv.glmnet.

sebastianandersson/FMA documentation built on May 29, 2019, 4:57 p.m.