This is my understanding of what is happening. 1. Standardize all the x variables to have mean 0 and variance 1 (possibly y as well). 2. Compute the unconstrained least squares regression. 3. Sum the abs values of the b's.
That sum is the scaling factor. A bound of 1 means the sum above (and any bound greater than that will just give the same unconstrained results). A bound of 0.5 means half of the sum above, etc. Hope this helps, -- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare [EMAIL PROTECTED] (801) 408-8111 > -----Original Message----- > From: [EMAIL PROTECTED] > [mailto:[EMAIL PROTECTED] On Behalf Of Søren Højsgaard > Sent: Tuesday, August 28, 2007 2:03 PM > To: r-help@stat.math.ethz.ch > Cc: Søren Højsgaard; [EMAIL PROTECTED] > Subject: [R] The l1ce function in lasso2: The bound and > absolute.tparameters. > > 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 > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
