How to check the value of the tuning parameter lamda in "fect"

[Yanxia-Yu]

Hi Yiqing,

I've got two questions:

1. When using the "fect" package in R to produce the MC estimates, a list of "lambda.norm" values is produced by iteration. What does "lambda.norm" mean?

2. I've found that by specifying the range of lambda, we can avoid potential over-fitting with the MC estimator. Yet I don't know how to print the value of the lambda after the estimation. Please tell me how to do that?

My data and code are attached to this question. Please have a look and rely me at your earliest convenience. Thank you.

Regards,

Yanxia
Data & Code.zip

[xuyiqing]

Hi Ziyi, could you take a look?

On Wed, Jul 6, 2022 at 1:40 AM Amy ***@***.***> wrote: Hi Yiqing, I've got two questions: 1. When using the "fect" package in R to produce the MC estimates, a list of "lambda.norm" values is produced by iteration. What does "lambda.norm" mean? 2. I've found that by specifying the range of lambda, we can avoid potential over-fitting with the MC estimator. Yet I don't know how to print the value of the lambda after the estimation. Please tell me how to do that? My data and code are attached to this question. Please have a look and rely me at your earliest convenience. Thank you. Regards, Yanxia Data & Code.zip <https://github.com/xuyiqing/fect/files/9053141/Data.Code.zip> — Reply to this email directly, view it on GitHub <#25>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AB2PKGGCQ3IZ6ILZHO3BTSTVSVA7VANCNFSM52Y457MA> . You are receiving this because you are subscribed to this thread.Message ID: ***@***.***>

-- Sent from IPhone. Please pardon typos and brevity.

[lzy318]

You can use the parameter lambda.cv, which is the parameter used in the paper.

[lzy318]

The results of MC cross-validation are saved in out$CV.out.mc.

[Yanxia-Yu]

You can use the parameter lambda.cv, which is the parameter used in the paper.

Thanks a lot. I now understand how to print the optimal lambda value (out$lambda.cv). Yet I'm still confused about the "lambda.norm" values in the output . MSPE is used as a criterion to produce the optimal "lambda.norm". My question is: what is "lambda.norm"?

[lzy318]

Lambda.norm is the lamba.cv divided by the maximum eigenvalue of the outcome matrix. It is just one way of normalization.

[Yanxia-Yu]

Lambda.norm is the lamba.cv divided by the maximum eigenvalue of the outcome matrix. It is just one way of normalization.

Thank you. ; )