confint.islasso function

confint method for islasso objects

## S3 method for class 'islasso'
confint(object, parm, level = 0.95,
  type.ci = "wald", trace = TRUE, ...)

Arguments

• object: a fitted model object of class "islasso".
• parm: a specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered.
• level: the confidence level required.
• type.ci: Only Wald-type confidence intervals are implemented yet! type.ci = "wald" estimates and standard errors are used to build confidence interval
• trace: if TRUE (default) a bar shows the iterations status.
• ...: additional argument(s) for methods.

Author(s)

Maintainer: Gianluca Sottile gianluca.sottile@unipa.it

See Also

islasso.fit, summary.islasso, residuals.islasso, logLik.islasso, predict.islasso and deviance.islasso methods.

Examples

set.seed(1)
n <- 100
p <- 100
p1 <- 10  #number of nonzero coefficients
coef.veri <- sort(round(c(seq(.5, 3, l=p1/2), seq(-1, -2, l=p1/2)), 2))
sigma <- 1

coef <- c(coef.veri, rep(0, p-p1))

X <- matrix(rnorm(n*p), n, p)
eta <- drop(X%*%coef)

##### gaussian ######
mu <- eta
y <- mu + rnorm(n, 0, sigma)

o <- islasso(y ~ ., data = data.frame(y = y, X), 
             family = gaussian())

ci <- confint(o, type.ci = "wald", parm = 1:10)
ci
plot(ci)