alasso.cv {STOPES}

ALASSO variable selection via cross-validation regularization parameter selection

Description

alasso.cv computes the ALASSO estimator.

Usage

alasso.cv(x, y)

Arguments

x

n x p covariate matrix

y

n x 1 response vector

Value

alasso.cv returns the ALASSO estimate

alasso

the ALASSO estimator

References

Hui Zou, (2006). "The adaptive LASSO and its oracle properties", JASA, 101 (476), 1418-1429

Examples

p <- 5
n <- 100
beta <- c(2, 1, 0.5, rep(0, p - 3))
x <- matrix(nrow = n, ncol = p, rnorm(n * p))
y <- rnorm(n) + crossprod(t(x), beta)
alasso.cv(x, y)