JPEN (version 1.0)

jpen.tune: Tuning parameter selection based on minimization of 5 fold mean square error.

Description

Returns optimal values of tuning parameters lambda and gamma which minimizes the K-fold crossvalidation error on

Usage

jpen.tune(Ytr, gama, lambda=NULL)

Arguments

Ytr

Ytr is matrix of observations.

gama

gama is vector of gamma values. gamma is non-negative.

lambda

lambda is vector of lambda values. lambda is non-negative.

Value

Returns the optimal values of lambda and gamma.

Details

Returns the value of optimal tuning parameters. The function uses K-fold cross validation to select the best tuning parameter from among a set of of values of lambda and gamma.

References

A Well Conditioned and Sparse Estimate of Covariance and Inverse Covariance Matrix Using Joint Penalty. Submitted. http://arxiv.org/pdf/1412.7907v2.pdf

See Also

jpen

Examples

p=10;n=100;
Sig=diag(p);
y=rmvnorm(n,mean=rep(0,p),sigma=Sig);
gama=c(0.5,1.0);
opt=jpen.tune(Ytr=y,gama);