public class ConstrainedLASSOProblem extends LMProblem
Constructor and Description |
---|
ConstrainedLASSOProblem(ConstrainedLASSOProblem that)
Copy constructor.
|
ConstrainedLASSOProblem(Vector y,
Matrix X,
double t)
Constructs a LASSO problem in the constrained form.
|
Modifier and Type | Method and Description |
---|---|
double |
t()
Get the penalization parameter for the constrained form of LASSO.
|
A, checkInputs, intercept, invOfwAtwA, nExogenousFactors, nFactors, nObs, wA, weights, wy, X, y
public ConstrainedLASSOProblem(Vector y, Matrix X, double t)
y
- the vector of response variable (n * 1), properly demeaned and scaledX
- the design matrix of factors (n * m), properly demeaned and scaledt
- the penalization parameterpublic ConstrainedLASSOProblem(ConstrainedLASSOProblem that)
that
- another LASSOProblem
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.