CDLasso (version 1.1)

summary.l2.reg: Print all results of Cyclic Coordinate Descent for L2 Regression

Description

Print full summary of results of Cyclic Coordinate Descent for L2 Regression.

Usage

"summary"(object, ...)

Arguments

object

Output of l2.reg. Must be of class "l2.reg"

...

N/A

Value

X

The design matrix.

Y

The outcome variable for cases.

cases

The number of cases

predictors

The number of predictors

lambda

The value of penalization parameter lambda used.

objective

The value of the objective function

residual

A vector of length p listing the residuals

L2

The sum of the residuals

estimate

The estimate of the coefficients

nonzeros

The name of "selected" variables included in the model.

selected

The name of the "selected" variables included in the model.

Details

summary.l2.reg produces full output from l2.reg. For selected output, see print.l2.reg.

References

Wu, T.T. and Lange, K. (2008). Coordinate Descent Algorithms for Lasso Penalized Regression. Annals of Applied Statistics, Volume 2, No 1, 224-244.

See Also

summary.l2.reg

l2.reg

Examples

set.seed(100)
n=500
p=2000
nz = c(1:5)
true.beta<-rep(0,p)
true.beta[nz] = c(1,1,1,1,1)

x=matrix(rnorm(n*p),p,n)
y = t(x) %*% true.beta

rownames(x)<-1:nrow(x)
colnames(x)<-1:ncol(x)

#Lasso penalized L2 regression
out<-l2.reg(x,y,lambda=2)

#Re-estimate parameters without penalization
out2<-l2.reg(x[out$selected,],y,lambda=0)
summary(out2)