lasso_weight_single: Implement weighted Lasso estimation (second step of adaptive...

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

Implement weighted Lasso estimation (second step of adaptive lasso) via coordinate descent for the case in which only one predictor remains

Description

Estimation function. Tuning parameter inputs needed.

Usage

lasso_weight_single(x, y, lambda, w = NULL, intercept = TRUE, scalex = FALSE)

Arguments

x	Predictor matrix (n-by-p matrix)
y	Response variable
lambda	Shrinkage tuning parameter
w	weights
intercept	A boolean: include an intercept term or not
scalex	A boolean: standardize the design matrix or not

Value

A list contains estimated intercept and slope

ahat	Estimated intercept
bhat	Estimated slope

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