star.fun {ConformalSmallest}

Conformal prediction for ridge regression, tuning parameter by minimizing the mean of the residuals

Description

Conformal prediction for ridge regression, tuning parameter by minimizing the mean of the residuals

Usage

star.fun(X, Y, X0, lambda = seq(0, 100, length = 100), 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

alpha

miscoverage level

Value

upper and lower prediction intervals for X0