anchor_regression {AnchorRegression} | R Documentation |
Perform an Anchor Regression as described in Rothenhäusler et al.2020
anchor_regression(x, anchor, gamma, target_variable, lambda = "CV")
x |
is a dataframe containing the matrix x containing the independent variables |
anchor |
is a dataframe containing the matrix anchor containing the anchor variable |
gamma |
is the regularization parameter for the Anchor Regression |
target_variable |
is the target variable name contained in the x dataframe |
lambda |
indicates the lambda that is used in the Anchor Regression. 'CV' is used if it should be estimated by cross validation on the full subset. |
A list with coefficient values and a list with the respective names overview_print
. Additionally the transformed data as x and y plus the fixed lambda coefficient.
x <- as.data.frame(matrix(data = rnorm(1000),nrow = 100,ncol = 10))
anchor <- as.data.frame(matrix(data = rnorm(200),nrow = 100,ncol = 2))
colnames(anchor) <- c('X1','X2')
gamma <- 2
target_variable <- 'V2'
anchor_regression(x, anchor, gamma, target_variable)