multi.adlasso {HCTR}

Multi-split Adaptive Lasso

Description

Multi-splitted variable selection using Adaptive Lasso

Usage

multi.adlasso(X, Y, covar.num = NULL, fold.num)

Arguments

X

An input matrix, of dimension nobs x nvars.

Y

A numeric response vector, containing nobs variables.

covar.num

Number of covariates in model, default is NULL.

fold.num

The number of cross validation folds.

Value

A list of two numeric objects of index of (1) selected and (2) unselected variables.