estimateLambda: Estimate the tuning parameter of lasso regression

Description Usage Arguments Value

View source: R/util.R

Description

This function returns λ = E[||X^T ε||_∞] / n, where ε ~ N(0, σ^2 I).

Usage

1
estimateLambda(X, sigma, nsim = 1000)

Arguments

X,

the design matrix.

sigma,

the noise level.

nsim,

the number of Monte Carlo simulations to run.

Value

This function returns the value of tuning parameter.


shuxiaoc/outference documentation built on Dec. 5, 2017, 3:48 a.m.