screen_cvsqrt.lasso {nethet} | R Documentation

## Cross-validated Lasso screening and sqrt-truncation.

### Description

Cross-validated Lasso screening and sqrt-truncation.

### Usage

    screen_cvsqrt.lasso(x, y)

### Arguments

`x` | Predictor matrix.
`y` | Response vector.

### Details

Computes Lasso coefficients (cross-validation optimal lambda). Truncates smallest coefficients to zero, such that there are no more than sqrt(n) non-zero coefficients.

### Value

Active-set.

### Author(s)

n.stadler

### Examples

    screen_cvsqrt.lasso(matrix(rnorm(5000),50,100),rnorm(50))

[Package nethet version 1.26.0 Index]