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amvillegas / StMoMo

Stochastic Mortality Modelling
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Cross validation and group lasso code #26

Closed dsridaran closed 4 years ago

dsridaran commented 5 years ago

5 new files:

  1. genFunctions - This allows users to quickly create lists of functions (to create StMoMo object)
  2. cvStMoMo - Perform cross validation for StMoMo object (without regularisation). This can be implemented immediately.
  3. glStMoMo - Fit StMoMo object using group lasso. Cannot be implemented yet (as we do not have capacity to create "Normal" model objects).
  4. glcvStMoMo - Perform cross validation for StMoMo object (to be fitted with group lasso).
  5. glRemoveIntercept - Internal function to handle the "intercept" term that is automatically generated by grpreg.