COR (version 0.2.0)

LICnew: Calculate the LIC estimator based on A-optimal and D-optimal criterion

Description

Calculate the LIC estimator based on A-optimal and D-optimal criterion

Usage

LICnew(X, Y, alpha, K, nk)

Value

A list containing:

E5

The LIC estimator based on A-optimal and D-optimal criterion.

Arguments

X

A matrix of observations (design matrix) with size n x p

Y

A vector of responses with length n

alpha

The significance level for confidence intervals

K

The number of subsets to consider

nk

The size of each subset

References

Guo, G., Song, H. & Zhu, L. The COR criterion for optimal subset selection in distributed estimation. Statistics and Computing, 34, 163 (2024). tools:::Rd_expr_doi("10.1007/s11222-024-10471-z")

Examples

p = 6; n = 1000; K = 2; nk = 200; alpha = 0.05; sigma = 1
e = rnorm(n, 0, sigma); beta = c(sort(c(runif(p, 0, 1))));
data = c(rnorm(n * p, 5, 10)); X = matrix(data, ncol = p);
Y = X %*% beta + e;
LICnew(X = X, Y = Y, alpha = alpha, K = K, nk = nk)