OLS solver that falls back to an optimisation if ncol(X) is huge Also supports LASSO via optimisation

OLS solver that falls back to an optimisation if ncol(X) is huge Also supports LASSO via optimisation

Usage

fast_ols(X, Y, weight = NULL, lambda = 0, max_iterations = 300)

Arguments

X

data matrix

Y

response vector

weight

weight vector (default: NULL)

lambda

LASSO regularisation (default: 0)

max_iterations

if ncol(X) is huge, then ols is replaced with optimisation (default:300)

Value

coefficient vector