coef.hdqr: Extract Model Coefficients from a `hdqr` Object

Description

Retrieves the coefficients at specified values of lambda from a fitted hdqr model.

Usage

# S3 method for hdqr
coef(object, s = NULL, type = c("coefficients", "nonzero"), ...)

Value

Returns a matrix or vector of coefficients corresponding to the specified lambda values.

Arguments

object: Fitted hdqr object.
s: Values of the penalty parameter lambda for which coefficients are requested. Defaults to the entire sequence used during the model fit.
type: Type of prediction required. Type "coefficients" computes the coefficients at the requested values for s. Type "nonzero" returns a list of the indices of the nonzero coefficients for each value of s.
...: Not used.

Details

This function extracts coefficients for specified lambda values from a hdqr object. If s, the vector of lambda values, contains values not originally used in the model fitting, the coef function employs linear interpolation between the closest lambda values from the original sequence to estimate coefficients at the new lambda values.

Examples

Run this code

set.seed(315)
n <- 100
p <- 400
x <- matrix(data = rnorm(n * p, mean = 0, sd = 1), nrow = n, ncol = p)
beta_star <- c(c(2, 1.5, 0.8, 1, 1.75, 0.75, 0.3), rep(0, (p - 7)))
eps <- rnorm(n, mean = 0, sd = 1)
y <- x %*% beta_star + eps
tau <- 0.5
lam2 <- 0.01
fit <- hdqr(x = x, y = y, tau = tau, lam2 = lam2)
coefs <- coef(fit, s = fit$lambda[3:5])