Copula lasso

Copula lasso

Usage

copulalasso(
  x,
  y,
  cor.method = "gaussrank",
  scale.method = "qn",
  center.method = "median",
  adaptive = TRUE
)

Arguments

x

input design matrix

y

input response vector

cor.method

could be "pearson" or "gaussrank"

scale.method

"sd" or "qn"

center.method

mean or median

adaptive

lasso or adaptive lasso

Value

betahat_opt, the optimal estimation of beta obtained from this algorithm

lambda_opt is the optimal tuning parameter and sigma_opt is the optimal estimation of sigma.

The output also includes the estimated correlation matrix, the estimated covariance matrix others.