Minimizes the plug-in SURE criterion over the grid. Its selected minimum
is not an unbiased estimate of the risk of the tuned estimator.
Usage
sure_hr(X, y, sigma2, grid = NULL, intercept = TRUE, standardize = TRUE)
Arguments
- X
design matrix.
- y
response.
- sigma2
error variance or an estimate of it.
- grid
output of hr_grid; computed if missing.
- intercept, standardize
passed to the design preparation.
Value
A list with the selected tuning values, the fitted coefficients
(intercept first), the selected set and the degrees of freedom.
