| screen_variables {MESS} | R Documentation |
Screen variable before penalized regression
Description
Expands a contingency table to a data frame where each observation in the table becomes a single observation in the data frame with corresponding information for each for each combination of the table dimensions.
Usage
screen_variables(x, y, lambda = 0.1, method = c("global-strong", "global-DPP"))
Arguments
x |
A table or matrix |
y |
A vector of outcomes |
lambda |
a vector of positive values used for the penalization parameter. |
method |
a string giving the method used for screening. Two possibilities are "global-strong" and "global-DPP" |
Details
Note that no standardization is done (not necessary?)
Value
A list with three elements: lambda which contains the lambda values, selected which contains the indices of the selected variables, and method a string listing the method used.
Author(s)
Claus Ekstrom claus@rprimer.dk
References
Hastie, Tibshirani and Wainwright (2015). "Statistical Learning with Sparsity". CRC Press.
Examples
x <- matrix(rnorm(50*100), nrow=50)
y <- rnorm(50, mean=x[,1])
screen_variables(x, y, lambda=c(.1, 1, 2))