fit_lasso: Run Lasso estimation

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

Run Lasso estimation

Description

Run Lasso estimation

Usage

fit_lasso(
  w,
  y,
  intercept = FALSE,
  standardize = TRUE,
  lambda_choice = NULL,
  lambda_seq = NULL,
  train_method = "timeslice",
  nlambda = 100,
  lambda_min_ratio = 1e-04,
  k = 10,
  initial_window = ceiling(nrow(w) * 0.7),
  horizon = 1,
  fixed_window = TRUE,
  skip = 0
)

Arguments

w	Matrix of all regressors
y	Vector of dependent variable

Value

coefficients of Lasso regression and residuals

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