screen_cvsqrt.lasso {nethet}R Documentation

Cross-validated Lasso screening and sqrt-truncation.

Description

Cross-validated Lasso screening and sqrt-truncation.

Usage

screen_cvsqrt.lasso(x, y)

Arguments

x

Predictor matrix.

y

Response vector.

Details

Computes Lasso coefficients (cross-validation optimal lambda). Truncates smallest coefficients to zero, such that there are no more than sqrt(n) non-zero coefficients.

Value

Active-set.

Author(s)

n.stadler

Examples

screen_cvsqrt.lasso(matrix(rnorm(5000),50,100),rnorm(50))

[Package nethet version 1.25.0 Index]