Extract coefficients from a high-dimensional shrinkage fit — coef.hd_shrinkage_fit • HDMaxShrink

Extract coefficients from a high-dimensional shrinkage fit

Usage

# S3 method for class 'hd_shrinkage_fit'
coef(
  object,
  method = c("PS", "PPS", "FM", "SM", "PT", "S", "RIDGE", "MCP", "FSL", "SMSL", "FDSL",
    "SMDSL", "full", "submodel", "restricted"),
  ...
)

Arguments

object: A fitted hd_shrinkage_fit object.
method: Selected endpoint ("FM" or "SM"), adaptive estimator ("PT", "S", "PS", or "PPS"), raw square-root lasso endpoint ("FSL" or "SMSL"), explicit debiased endpoint ("FDSL" or "SMDSL") when available, or the all-X endpoints "RIDGE" and "MCP" from fit_ridge_mcp_shrinkage(). The legacy names "full" and "restricted" remain available.
...: Unused.

Value

A named coefficient vector including the intercept.