Relaxed islasso model fitting

Fits a relaxed islasso model by unpenalizing a subset of variables selected either by statistical significance or by explicit user specification.

Usage

relax.islasso(fit, id = NULL, pval = 0.05, ...)

Arguments

fit

An object of class islasso, representing a fitted model.

id

Optional. Either:

• A numeric vector of indices referring to variables to be kept unpenalized, or

• A character vector of variable names to be kept unpenalized.

If not provided, selection is based on the significance level given in alpha.

pval

Significance threshold (default 0.05). Variables with p-values less than or equal to pval are selected if id is missing.

...

Further arguments passed to update.

Value

An object of class islasso, representing the updated relaxed model.

Details

The function creates a new islasso model where the selected variables are excluded from penalization. Selection can be made either through explicit variable indices/names via id, or automatically by thresholding p-values using alpha.

Examples

if (FALSE) { # \dontrun{
fit <- islasso(y ~ x1 + x2 + x3, data = dat)
# Relaxed model keeping only variables with p <= 0.01
fit_relaxed <- relax.islasso(fit, alpha = 0.01)

# Relaxed model keeping variable "x1" unpenalized
fit_relaxed2 <- relax.islasso(fit, id = "x1")
} # }