cv_EN: cv_EN

In vviers/DIYLassoElasticNet: Coordinate-Descent for Penalised Regression Problems (ST443 Final Project)

Description

use cross-validation to find the best values of lambda and alpha

Usage

cv_EN(lambda_max = 10, step_lambda = 0.1, n_folds = 10, y, X,
  one_stderr_rule = TRUE)

Arguments

lambda_max	maximum lambda to try
step_lambda	step size between 0 and lambda_max
n_folds	the number of folds to use in cross-validation
y	a nx1 label vector
X	the design matrix
one_stderr_rule	whether to use the one-standard-error rule when choosing lambda

Value

a list object containing a data.frame summarizing the error for each pair of lambda/alpha, and the best lambda/alpha

vviers/DIYLassoElasticNet documentation built on May 30, 2019, 12:49 p.m.