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