Displaying 2 results from an estimated 2 matches for "beta_ols".
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beta_egls
2009 Jul 12
0
Plotting problem [lars()/elasticnet()]
Dear all,
I am using modified LARS algorithm (ref: The Adaptive Lasso and Its Oracle
Properties, Zou 2006) for adaptive lasso penalized linear regression.
1. w(j) <- |beta_ols(j)|^(-gamma) gamma>0 and j = 1,...,p
2. define x_new(j) <- x(j)*w(j)
3. apply LARS to solve modified lasso problem
out.adalasso <- lars(X_new,y,type="lasso") or enet(X_new, y,
lambda=0)
suppose, the estimated coefficients are beta_new(j), j=1,...,p
4...
2010 Mar 27
1
R runs in a usual way, but simulations are not performed
...t_EXP <- function(alpha) solve(obsmat_EXP(alpha))
avgcovmat_EXP <- function(alpha) solve(avgmat_EXP(alpha))
#########################################################################################
# zav?dza kni?nicu maxLik
library(maxLik)
# zavedie ?tartovacie hodnoty jednotky pre alpha
beta_ols <- function(x,y) crossprod(solve(crossprod(x)), crossprod(x,y))
resids_ols <- function(x,y) (y - crossprod(t(x),beta_ols(x,y)))
alpha_ols_ADD <- function(x,y)
crossprod(solve(crossprod(z)),crossprod(z,resids_ols(x,y)^2))
alpha_ols_MIX <- function(x,y)
crossprod(solve(crossprod(z)),cross...