cv_screen {SplitKnockoff}R Documentation

calculate the CV optimal beta and estimated support set

Description

cv_all calculate the CV optimal beta and estimated support set in the problem 1/n |y - X beta|^2 + 1/nu |D beta - gamma|^2 + lambda |gamma|_1.

Usage

cv_screen(X, y, D, option)

Arguments

X

the design matrix

y

the response vector

D

the linear transform

option

options for screening

Value

beta_hat: CV optimal beta

stat_cv: various intermedia statistics, including the estimated support sets


[Package SplitKnockoff version 2.1 Index]