screen_cvfix.lasso {nethet} | R Documentation |
Cross-validated Lasso screening and upper bound on number of predictors
screen_cvfix.lasso(x, y, no.predictors = 10)
x |
Predictor matrix. |
y |
Response vector. |
no.predictors |
Upper bound on number of active predictors, |
Computes Lasso coefficients (cross-validation optimal lambda). Truncates smalles coefficients to zero such that there are no more than no.predictors non-zero coefficients
Active-set.
n.stadler
screen_cvfix.lasso(matrix(rnorm(5000),50,100),rnorm(50))