cv.fun {ConformalSmallest}

Cross validation conformal prediction for ridge regression

Description

Cross validation conformal prediction for ridge regression

Usage

cv.fun(X, Y, X0, lambda = seq(0, 100, length = 100), nfolds = 10, alpha = 0.1)

Arguments

X

A N*d training matrix

Y

A N*1 training vector

X0

A N0*d testing vector

lambda

a sequence of penalty parameters for ridge regression

nfolds

number of folds

alpha

miscoverage level

Value

upper and lower prediction intervals for X0