cvVAR_ENET {VARcpDetectOnline} | R Documentation |
Cross Validation for Elastic Net VAR Estimation
Description
This internal function performs cross validation using elastic net (ENET)
estimation via the glmnet
package. It supports parallel processing if requested.
Usage
cvVAR_ENET(X, y, nvar, opt)
Arguments
X |
A numeric matrix of predictors. |
y |
Numeric vector of responses. |
nvar |
Integer. The number of variables in the original VAR (number of columns in data). |
opt |
List. A list of options including:
|
Value
An object of class cv.glmnet
as returned by glmnet::cv.glmnet
.