talasso: Implement repeated Lasso estimation

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

Implement repeated Lasso estimation

Description

Estimation function. Tuning parameter inputs needed. First step adalasso estimate needed.

Usage

talasso(x, y, b.first, lambda, gamma = 1, intercept = TRUE, scalex = FALSE)

Arguments

x	Predictor matrix (n-by-p matrix)
y	Response variable
b.first	First step adaptive lasso estimates
lambda	Shrinkage tuning parameter
gamma	Parameter controlling the inverse of first step estimate
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

Examples

talasso(x,y, b.first,lambda)

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