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nethet (version 1.4.2)

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

Examples

Run this code
screen_cvfix.lasso(matrix(rnorm(5000),50,100),rnorm(50))

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