multi.lasso {HCTR}

Multi-split Lasso

Description

Multi-splitted variable selection using Lasso

Usage

multi.lasso(X, Y, p.fac = NULL, fold.num)

Arguments

X

An input matrix, of dimension nobs x nvars.

Y

A numeric response vector, containing nobs variables.

p.fac

A sequence of penalty factor applied on each variable.

fold.num

The number of cross validation folds.

Value

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