LassoNet (version 0.8.3)

get.BxBy: Computes decomposition elements.

Description

Computes matrices \(B^{ij}_X\) and \(B^{ij}_y\) to speed up estimation of connection signs. These matrices are stored only for indices that have non zero entries in penalty matrix M.

Usage

get.BxBy(x, y, M)

Arguments

x

Input data matrix of size \(n \times p\), n - number of observations, p - number of covariates

y

y Response vector or size \(n \times 1\)

M

penalty matrix

Value

Bx

array of \(B^{ij}_X\) stored matrices. \(Bx[,,k]\) are the k-th combination of i and j non zero entry in the penalty matrix M

By

array of \(B^{ij}_y\) stored matrices. \(By[,k]\) are the k-th combination of i and j non zero entry in the penalty matrix M

Details

Calculates matrices all for i and j indices that have non zero values in a given penalty matrix.

References

Weber, M., Striaukas, J., Schumacher, M., Binder, H. "Network-Constrained Covariate Coefficient and Connection Sign Estimation" (2018) <doi:10.2139/ssrn.3211163>

Examples

# NOT RUN {
p<-200
n<-100
x<-matrix(rnorm(n*p),n,p)
y<-rnorm(n,mean=0,sd=1)
M<-diag(p)
get.BxBy(x, y, M)
# }