cv.sofar {rrpack}R Documentation

Sparse orthognal factor regression tuned by cross validation

Description

Sparse orthognal factor regression tuned by cross validation

Usage

cv.sofar(
  Y,
  X,
  nrank = 1,
  su = NULL,
  sv = NULL,
  nfold = 5,
  norder = NULL,
  modstr = list(),
  control = list(),
  screening = FALSE
)

Arguments

Y

response matrix

X

covariate matrix

nrank

an integer specifying the desired rank/number of factors

su

a scaling vector for U such that U^{T}U = diag(s_{u})

sv

a scaling vector for V such that V^{T}V = diag(s_{v})

nfold

number of fold; used for cv.sofar

norder

observation orders to constrct data folds; used for cv.sofar

modstr

a list of internal model parameters controlling the model fitting

control

a list of internal computation parameters controlling optimization

screening

If TRUE, marginal screening via lasso is performed before sofar fitting.

Details

The model parameters can be specified through argument modstr. The available elements include

The model fitting can be controled through argument control. The avilable elements include


[Package rrpack version 0.1-13 Index]