cv.enet {elasticnet} | R Documentation |
Computes K-fold cross-validated error curve for elastic net
Description
Computes the K-fold cross-validated mean squared prediction error for elastic net.
Usage
cv.enet(x, y, K = 10, lambda, s, mode,trace = FALSE, plot.it = TRUE, se = TRUE, ...)
Arguments
x |
Input to lars |
y |
Input to lars |
K |
Number of folds |
lambda |
Quadratic penalty parameter |
s |
Abscissa values at which CV curve should be computed. A value, or vector of values, indexing the path. Its values depends on the mode= argument |
mode |
Mode="step" means the s= argument indexes the LARS-EN step number. If mode="fraction", then s should be a number between 0 and 1, and it refers to the ratio of the L1 norm of the coefficient vector, relative to the norm at the full LS solution. Mode="norm" means s refers to the L1 norm of the coefficient vector. Abbreviations allowed. If mode="norm", then s should be the L1 norm of the coefficient vector. If mode="penalty", then s should be the 1-norm penalty parameter. |
trace |
Show computations? |
plot.it |
Plot it? |
se |
Include standard error bands? |
... |
Additional arguments to |
Value
Invisibly returns a list with components (which can be plotted using plotCVLars
)
fraction |
Values of s |
cv |
The CV curve at each value of fraction |
cv.error |
The standard error of the CV curve |
Author(s)
Hui Zou and Trevor Hastie
References
Zou and Hastie (2005) "Regularization and Variable Selection via the Elastic Net" Journal of the Royal Statistical Society, Series B,76,301-320.
Examples
data(diabetes)
attach(diabetes)
## use the L1 fraction norm as the tuning parameter
cv.enet(x2,y,lambda=0.05,s=seq(0,1,length=100),mode="fraction",trace=TRUE,max.steps=80)
## use the number of steps as the tuning parameter
cv.enet(x2,y,lambda=0.05,s=1:50,mode="step")
detach(diabetes)