Description Usage Arguments Details Value Author(s)
Stepwise estimation for a (sub)model specified by a scope of nonzero parameters.
1 |
f |
a (loss) function to minimize |
gr |
the gradient of f. |
par |
the initial parameter vector. |
direction |
the mode of the stepwise search. The default is |
scope |
either a sequence of indices indicating the nonzero entries in the largest model,
or a list containing the components |
The function implements a generic stepwise optimization algorithm. The optimization is done with optim
using
the BFGS algorithm. The function searches either forward or backwards in the parameter vector, and in
each step it chooses among the possible models the best fitting model as measured by the loss function.
A list
of length 4. The first element, lambda
, is the sequence of dimensions,
and the second, beta
, is the matrix of parameter estimates. Each column in beta
corresponds to an entry in lambda
. The third element is status
, where 0 means
convergence, and 4 indicates convergence problems. The last element msg
gives details
on convergence status.
Niels Richard Hansen Niels.R.Hansen@math.ku.dk
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