Description Usage Arguments Value
This function returns λ = E[||X^T ε||_∞] / n, where ε ~ N(0, σ^2 I).
1 | estimateLambda(X, sigma, nsim = 1000)
|
X, |
the design matrix. |
sigma, |
the noise level. |
nsim, |
the number of Monte Carlo simulations to run. |
This function returns the value of tuning parameter.
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