computeGridLambda {valse}

computeGridLambda

Description

Construct the data-driven grid for the regularization parameters used for the Lasso estimator

Usage

computeGridLambda(
  phiInit,
  rhoInit,
  piInit,
  gamInit,
  X,
  Y,
  gamma,
  mini,
  maxi,
  eps,
  fast
)

Arguments

phiInit

value for phi

rhoInit

for rho

piInit

for pi

gamInit

value for gamma

X

matrix of covariates (of size n*p)

Y

matrix of responses (of size n*m)

gamma

power of weights in the penalty

mini

minimum number of iterations in EM algorithm

maxi

maximum number of iterations in EM algorithm

eps

threshold to stop EM algorithm

fast

boolean to enable or not the C function call

Value

the grid of regularization parameters for the Lasso estimator. The output is a vector with nonnegative values that are relevant to be considered as regularization parameter as they are equivalent to a 0 in the regression parameter.