screen_cvsqrt.lasso {nethet} | R Documentation |
Cross-validated Lasso screening and sqrt-truncation.
screen_cvsqrt.lasso(x, y)
x |
Predictor matrix. |
y |
Response vector. |
Computes Lasso coefficients (cross-validation optimal lambda). Truncates smallest coefficients to zero, such that there are no more than sqrt(n) non-zero coefficients.
Active-set.
n.stadler
screen_cvsqrt.lasso(matrix(rnorm(5000),50,100),rnorm(50))