Provide organic lasso estimate (of the error standard deviation) using cross-validation to select the tuning parameter value
olasso_cv(x, y, lambda = NULL, intercept = TRUE, nlam = 100,
flmin = 0.01, nfold = 5, foldid = NULL, thresh = 1e-08)
An n
by p
design matrix. Each row is an observation of p
features.
A response vector of size n
.
A user specified list of tuning parameter. Default to be NULL, and the program will compute its own lambda
path based on nlam
and flmin
.
Indicator of whether intercept should be fitted. Default to be TRUE
.
The number of lambda
values. Default value is 100
.
The ratio of the smallest and the largest values in lambda
. The largest value in lambda
is usually the smallest value for which all coefficients are set to zero. Default to be 1e-2
.
Number of folds in cross-validation. Default value is 5. If each fold gets too view observation, a warning is thrown and the minimal nfold = 3
is used.
A vector of length n
representing which fold each observation belongs to. Default to be NULL
, and the program will generate its own randomly.
Threshold value for underlying optimization algorithm to claim convergence. Default to be 1e-8
.
A list object containing:
n
and p
: The dimension of the problem.
lambda
: The path of tuning parameter used.
beta
: Estimate of the regression coefficients, in the original scale, corresponding to the tuning parameter selected by cross-validation.
a0
: Estimate of intercept
mat_mse
: The estimated prediction error on the test sets in cross-validation. A matrix of size nlam
by nfold
cvm
: The averaged estimated prediction error on the test sets over K folds.
cvse
: The standard error of the estimated prediction error on the test sets over K folds.
ibest
: The index in lambda
that attains the minimal mean cross-validated error.
foldid
: Fold assignment. A vector of length n
.
nfold
: The number of folds used in cross-validation.
sig_obj
: Organic lasso estimate of the error standard deviation, selected by cross-validation.
sig_obj_path
: Organic lasso estimates of the error standard deviation. A vector of length nlam
.
type
: whether the output is of a natural or an organic lasso.
# NOT RUN {
set.seed(123)
sim <- make_sparse_model(n = 50, p = 200, alpha = 0.6, rho = 0.6, snr = 2, nsim = 1)
ol_cv <- olasso_cv(x = sim$x, y = sim$y[, 1])
# }
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