Functions for computing split regularized estimators defined in Christidis, Lakshmanan,
Smucler and Zamar (2019)
This package provides functions for computing the split regularized regression estimators defined in Christidis, Lakshmanan, Smucler and Zamar (2019).
You can install the stable version on R CRAN.
install.packages('SplitReg', dependencies = TRUE)
You can install the development version from GitHub
library(devtools)devtools::install_github("AnthonyChristidis/SplitReg")
# A small examplelibrary(MASS)library(SplitReg)set.seed(1)beta <- c(rep(5, 5), rep(0, 45))Sigma <- matrix(0.5, 50, 50)diag(Sigma) <- 1x <- mvrnorm(50, mu = rep(0, 50), Sigma = Sigma)y <- x %*% beta + rnorm(50)fit <- cv.SplitReg(x, y, num_models=10) # Use 10 modelscoefs <- predict(fit, type="coefficients")
This package is free and open source software, licensed under GPL (>= 2).