Leave-one-function-out cross-validation
This internal function, called by fosr() when method="OLS",
performs efficient leave-one-function-out cross-validation using
Demmler-Reinsch orthogonalization to choose the smoothing parameter.
lofocv(Y, X, S1, argvals, lamvec = NULL, constr = NULL, maxlam = NULL)
Y |
matrix of responses, e.g. with columns corresponding to basis function coefficients. |
X |
model matrix. |
S1 |
penalty matrix. |
argvals |
values where the functions are evaluated |
lamvec |
vector of candidate smoothing parameter values. If
|
constr |
matrix of linear constraints. |
maxlam |
maximum smoothing parameter value to consider (when
|
if lamvec=NULL, a list (returned by optimize) with
elements minimum and objective giving, respectively, the
chosen smoothing parameter and the associated cross-validation score.
Otherwise a 2-column table with the candidate smoothing parameters in the
first column and the corresponding cross-validation scores in the second.
Philip Reiss phil.reiss@nyumc.org and Lei Huang
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