Getting started: two packages, one toolkit

softridge is the STR engine; scaleCorrection adds the corrected fitted scale. Both use RcppArmadillo. Install the main package before its companion.

remotes::install_github("byuzbasi/softridge", upgrade = "never")
remotes::install_github("byuzbasi/softridge", subdir = "companion/scaleCorrection",
                        upgrade = "never")

Fit STR on a small example

library(softridge)
set.seed(25)
X <- matrix(rnorm(60 * 100), 60, 100)
beta <- c(2, -1.5, 1, rep(0, 97))
y <- drop(X %*% beta + rnorm(60))
foldid <- rep(1:3, length.out = nrow(X))
grid <- hr_grid(X, y, nk = 3, ng = 5)
fit <- cv_hr(X, y, grid = grid, foldid = foldid)
c(k = fit$k, threshold = fit$gamma, selected = length(fit$selected))

##            k    threshold     selected 
##   0.02851467   0.00000000 100.00000000

head(fit$coef)

## [1]  0.01636806  0.89734169 -0.82684181  0.41227578  0.19559541 -0.11110748

The coefficient vector starts with the intercept. hr() returns a path object; its standard coef() and predict() methods select a path location. The following in-sample predictions illustrate the API, not prediction accuracy.

path <- hr(X, y, k = fit$k, gamma = fit$gamma)
head(predict(path, X))

## [1]  2.5790156 -0.5012138 -3.2782377  2.5351456 -1.8415457  0.8417265

Manuscript names and code entry points

Manuscript name	Code	Scale
STR	hr() / cv_hr()	None
STR-OLS	cv_hr(..., refit = TRUE)	Selected-variable LS refit
SSTR-LS	cv_hr(..., scale = TRUE)	Training LS scale
SSTR	scaleCorrection::corrected_pair()$SSTR_c0	Corrected scale
Ridge-c0	scaleCorrection::corrected_pair()$Ridge_c0	Corrected zero-threshold control

Small-example provenance

This 60-by-100 Gaussian example uses seed 25, three supplied folds and a 3-by-5 grid. It demonstrates software interfaces. It is not one of the reported performance comparisons and does not establish a method ranking.

Threshold geometry

The illustration below evaluates the deterministic soft-threshold operator; it contains no estimated performance results. Source: tools/build-gallery.R.