LICnew {COR} | R Documentation |
Calculate the LIC estimator based on A-optimal and D-optimal criterion
Description
Calculate the LIC estimator based on A-optimal and D-optimal criterion
Usage
LICnew(X, Y, alpha, K, nk)
Arguments
X |
A matrix of observations (design matrix) with size n x p |
Y |
A vector of responses with length n |
alpha |
The significance level for confidence intervals |
K |
The number of subsets to consider |
nk |
The size of each subset |
Value
A list containing:
E5 |
The LIC estimator based on A-optimal and D-optimal criterion. |
References
Guo, G., Song, H. & Zhu, L. The COR criterion for optimal subset selection in distributed estimation. Statistics and Computing, 34, 163 (2024). doi:10.1007/s11222-024-10471-z
Examples
p = 6; n = 1000; K = 2; nk = 200; alpha = 0.05; sigma = 1
e = rnorm(n, 0, sigma); beta = c(sort(c(runif(p, 0, 1))));
data = c(rnorm(n * p, 5, 10)); X = matrix(data, ncol = p);
Y = X %*% beta + e;
LICnew(X = X, Y = Y, alpha = alpha, K = K, nk = nk)
[Package COR version 0.2.0 Index]