screen_cvfix.lasso: Cross-validated Lasso screening and upper bound on number of predictors.
Description
Cross-validated Lasso screening and upper bound on number of predictors
Usage
screen_cvfix.lasso(x, y, no.predictors = 10)
Arguments
x
Predictor matrix.
y
Response vector.
no.predictors
Upper bound on number of active predictors,
Value
Active-set.
Details
Computes Lasso coefficients (cross-validation optimal lambda). Truncates
smalles coefficients to zero such that there are no more than no.predictors
non-zero coefficients