lse.beta:
Compute the least squares estimate on a given index set
Description
The function returns an estimate of the coefficient vector for a linear regression problem by setting the coefficients corresponding to a given index set to be the least squares estimate and the rest to be equal to zero.
Usage
lse.beta(X, y, active = NULL)
Arguments
X
design matrix.
y
response vector.
active
the index set on which the least squares estimate is computed.
Value
An estimate of the coefficient vector is returned as above.
If active==NULL, a vector of zeros is returned.