bss.bic: Implement best subset selection via Mixed Integer...

In zhan-gao/LasForecast: Time series linear predictive regression

Implement best subset selection via Mixed Integer Optimization (MIO) Select k by BIC

Description

Make use of Gurobi solver

Usage

bss.bic(
  y,
  X,
  intercept = TRUE,
  b0 = NULL,
  tau = 2,
  tol = 1e-04,
  MaxIter = 10000,
  polish = TRUE,
  time.limit = 1200,
  RW = TRUE
)

Arguments

y	forecast target
X	predictors
b0	initial estimator
tau	parameter to obtain bounds
tol	precision tolerence
polish	whether post-selection polish is conducted
time.limit	in seconds
RW	consider k equal to 0 or not

Value

A list contains estimated k and corresponding coefficient

k	estimated k
coef	estimated coefficient

zhan-gao/LasForecast documentation built on Sept. 18, 2024, 9:40 p.m.