R/grlasso.R

In seunghyunmin/EAinference: Estimator Augmentation and Simulation-Based Inference

grlassoFit <- function(X, Y, lbd, weights = rep(1, max(group)), group = 1:p,
                        eps = .Machine$double.eps)
{
  n <- nrow(X)
  p <- ncol(X)
  #--------------------
  # Error Handling
  #--------------------
  if (lbd < 0) {
    stop("lbd should be non-negative.")
  }
  if (length(group) != p) {
    stop("group must have a same length with the number of X columns")
  }
  if (length(weights) != length(unique(group))) {
    stop("weights has to have a same length as the number of groups")
  }
  if (any(weights <= 0)) {
    stop("weights should be positive.")
  }
  if (any(!1:max(group) %in% group)) {
    stop("group index has to be a consecutive integer starting from 1.")
  }
  if (!is.null(Y) & length(Y) != n) {
    stop("dimension of X and Y are not conformable.")
  }
  #--------------------
  return(coef(gglasso(x = X, y = Y, group = group, loss = "ls", lambda = lbd,
                      pf = weights, intercept = FALSE, eps = .Machine$double.eps))[-1])
}