Multivariate Sparse Group Lasso for the Multivariate Multiple Linear Regression with an Arbitrary Group Structure

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Documentation for package ‘MSGLasso’ version 2.1

• DESCRIPTION file.

Help Pages

Beta.m	A simulated Beta matrix
Cal_grpWTs	An auxilary function calculating the group weighting matrix 'grpWTs' required when calling the MSGlasso function.
FindingGRGrps	An auxilary function calculating the containing variable index for each predictor (or response) group. It generates the required input 'GR.grps' matrix when calling the MSGlasso function.
FindingPQGrps	An auxilary function calculating the group attribution index for each predictor (or response) variable. It generates the required input 'PQ.grps' matrix when calling the MSGlasso function.
MSGLasso	A function to fit the Multivariate Sparse Group Lasso with an arbitrary group structure (MSGLasso)
MSGLasso.cv	Fit the MSGLasso for a series sets of tuning parameters and use the k-fold cross validation to select the optimal tunning parameter set.