Caculate the estimators of beta on the LEV-opt#'
beta_LW(X, Y, K, nk)A list containing:
The estimator of beta on the LEV-opt subset.
The mean of the beta estimators across all K subsets.
The Average Mean Squared Error (AMSE) for the estimator.
The Weighted Mean Squared Error (WMSE) for the estimator.
The Mean Squared Error (MSE) of the LEV-opt estimator compared to the true beta.
The Mean Squared Error (MSE) of the mean estimator (betam) compared to the true beta.
The Mean Squared Error (MSE) of the LEV-opt estimator on the subset with the maximum hat value (Xleva).
The Mean Squared Error (MSE) of the LEV-opt estimator on the subset with the minimum hat value (Xlevi).
The Mean Squared Error (MSE) of the weighted estimator (Wbeta) compared to the true beta.
The Mean Squared Error (MSE) of the weighted estimator (wbeta) compared to the true beta.
is the observation matrix
is the response vector
is the number of subsets
is the length of subsets
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")