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fastclime (version 1.4.1.1)

dantzig.selector: Dantzig selector

Description

Function used to select the solution path for a given lambda

Usage

dantzig.selector(lambdalist, BETA0, lambda)

Value

beta0

beta0 is the estimated regression coefficient vector for the given lambda.

Arguments

lambdalist

lambdalist is the length validn decrementing path of the lambda solution values. It is obtained from the dantzig function.

BETA0

BETA0 is a d by validn matrix where each column has an estimated regression coefficient vector given a given lambda interval. It is obtained from the dantzig function.

lambda

lambda is the lambda solution value the user wishes to estimate a regression coefficient vector with.

Author

Di Qi, Haotian Pang
Maintainer: Di Qi <dqi@princeton.edu>

Details

Finds the estimated regression coefficient vector associated with a given lambda

See Also

dantzig

Examples

Run this code

# generate data
a = dantzig.generator(n = 200, d = 100, sparsity = 0.1)

# regression coefficient estimation
b = dantzig(a$X0, a$y, lambda = 0.1, nlambda = 100)

# estimated regression coefficient vector
c = dantzig.selector(b$lambdalist, b$BETA0, 15)

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