scout (version 1.0.4)

scout-package: Implements covariance-regularized regression, aka the Scout Method.

Description

Functions for implementing covariance-regularize regression.

Details

Package:

scout

Type:

Package

Version:

1.0

Date:

2008-11-20

License:

GPL (>=2)

The main function is "scout", which takes in a data matrix x and an outcome vector y and estimates regression coefficients for Scout(2,1) for a range of tuning parameter values. Alternatively one can specify other tuning parameter values and one can also perform Scout(1,1), Scout(2,.), or Scout(1,.). Cross-validation and prediction functions also are available.

References

Witten and Tibshirani (2008) Covariance-regularized regression and classification for high-dimensional problems. Journal of the Royal Statistical Society, Series B 71(3): 615-636.

See Also

Examples

library(lars)
data(diabetes)
attach(diabetes)
## Not run: cv.out <- cv.scout(x2,y,p1=1,p2=1,K=3)
## Not run: print(cv.out)
## Not run: out <- scout(x2,y,p1=1,p2=1,lam1=cv.out$bestlam1,lam2=cv.out$bestlam2)
## Not run: coef <- out$coef[1,1,]
detach(diabetes)