[R] The l1ce function in lasso2: The bound and absolute.t parameters.
Søren Højsgaard
Soren.Hojsgaard at agrsci.dk
Tue Aug 28 22:02:49 CEST 2007
Dear all,
I am quite puzzled about the bound and absolute.t arguments to the l1ce function in the lasso2 package. (The l1ce function estimates the regression parameter b in a regression model y=Xb+e subject to the constraint that |b|<t for some value t).
The doc says:
bound numeric, either a single number or a vector: the constraint(s) that is/are put onto the L1 norm of the parameters.
absolute.t logical flag: if TRUE, then bound is an absolute bound and all entries in bound can be any positive number. If FALSE, then bound is a relative bound and all entries must be between 0 and 1.
Default is that bound=0.5 and absolute.t is FALSE. Hence the bound is relative to "something", but I can't figure out what this "something" is (and it is not clear from the papers listed in the man pages either). Can anyone help on this??
Thanks
Søren
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