scout-package {scout}R Documentation

Implements covariance-regularized regression, aka the Scout Method.

Details

Package: scout
Type: Package
Version: 1.0
Date: 2008-11-20
License: GPL (>=2)

The main function is "scout", which takes in a data matrix x and an outcome vector y and estimates regression coefficients for Scout(2,1) for a range of tuning parameter values. Alternatively one can specify other tuning parameter values and one can also perform Scout(1,1), Scout(2,.), or Scout(1,.). Cross-validation and prediction functions also are available.

Author(s)

Daniela Witten and Robert Tibshirani

Maintainer: Daniela Witten <dwitten@stanford.edu>

References

Witten and Tibshirani (2008) Covariance-regularized regression and classification for high-dimensional problems. {it Journal of the Royal Statistical Society, Series B}. To appear.

See Also

<http://www-stat.stanford.edu/~dwitten>

Examples

data(diabetes)
attach(diabetes)
cv.out <- cv.scout(x2,y,p1=1,p2=1)
print(cv.out)
out <- scout(x2,y,p1=1,p2=1,lam1=cv.out$bestlam1,lam2=cv.out$bestlam2)
coef <- out$coef[1,1,]
detach(diabetes)

[Package scout version 1.0 Index]