MSGLasso (version 2.1)

Multivariate Sparse Group Lasso for the Multivariate Multiple Linear Regression with an Arbitrary Group Structure

Description

For fitting multivariate response and multiple predictor linear regressions with an arbitrary group structure assigned on the regression coefficient matrix, using the multivariate sparse group lasso and the mixed coordinate descent algorithm.

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Version

Install

install.packages('MSGLasso')

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Version

2.1

License

GPL (>= 2)

Maintainer

Yanming Li

Last Published

November 8th, 2016

Functions in MSGLasso (2.1)

FindingGRGrps

An auxilary function calculating the containing variable index for each predictor (or response) group. It generates the required input GR.grps matrix when calling the MSGlasso function.

MSGLasso.cv

Fit the MSGLasso for a series sets of tuning parameters and use the k-fold cross validation to select the optimal tunning parameter set.

MSGLasso

A function to fit the Multivariate Sparse Group Lasso with an arbitrary group structure (MSGLasso)

FindingPQGrps

An auxilary function calculating the group attribution index for each predictor (or response) variable. It generates the required input PQ.grps matrix when calling the MSGlasso function.

Cal_grpWTs

An auxilary function calculating the group weighting matrix grpWTs required when calling the MSGlasso function.

Beta.m

A simulated Beta matrix