screen_cvfix.lasso {nethet}R Documentation

Cross-validated Lasso screening and upper bound on number of predictors.

Description

Cross-validated Lasso screening and upper bound on number of predictors

Usage

screen_cvfix.lasso(x, y, no.predictors = 10)

Arguments

x

Predictor matrix.

y

Response vector.

no.predictors

Upper bound on number of active predictors,

Details

Computes Lasso coefficients (cross-validation optimal lambda). Truncates smalles coefficients to zero such that there are no more than no.predictors non-zero coefficients

Value

Active-set.

Author(s)

n.stadler

Examples

screen_cvfix.lasso(matrix(rnorm(5000),50,100),rnorm(50))

[Package nethet version 1.12.0 Index]