Helper function, please do not use
get.compare.fit(x, y, intercept, method.names, current.compare.fit = NULL)covariates (n times p matrix, n: number of entries, p: number of covariates)
response (vector with n entries)
TRUE to fit the data with an intercept, FALSE to fit the data without an intercept
vector of method names to be used in cross validation. Choose among "lasso", "elastic", "relaxo", "mcp" and "scad". Default is to use all methods listed above
(optional)
a list which includes the estimated coefficients (est.b) and the corresponding ordinary least square fit from stats::lm()