LassoNet0.8.3 package

3CoSE Algorithm

beta_update_net

Updates β\beta coefficients.

betanew_lasso_cpp

C++ subroutine that updates β\beta coefficients.

fastols

Fast least squares estimate.

get_BxBy

Computes decomposition elements.

get_sign_m

Vetorizes connection sign matrix.

get_xi

Updates the estimates of the connection signs by running mini OLS mode...

LassoNet-package

LassoNet: package for 3CoSE algorithm.

LassoNet_fixed

Estimates coefficients over the grid values of penalty parameters.

LassoNet_grid

Estimates coefficients and connection signs over the grid of values of...

mat_to_laplacian

Computes Laplacian matrix.

matrix_M_update

Updates connection sign matrix.

soft_thresh

Soft thresholding operator.

Download source packageRead PDF manual

Contains functions to estimate a penalized regression model using 3CoSE algorithm, see Weber, Striaukas, Schumacher Binder (2018) <doi:10.2139/ssrn.3211163>.

  • Maintainer: Jonas Striaukas
  • License: GPL (>= 2)
  • Last published: 2020-01-19