Fits a standardized sparse linear model by BIC-decreasing support updates.
Usage
fit_greedy_l0(
x,
y,
max_support_size = NULL,
min_improvement = 1e-10,
verbose = TRUE
)
Arguments
- x
Numeric predictor matrix with observations in rows.
- y
Numeric response vector.
- max_support_size
Optional positive integer support limit.
- min_improvement
Minimum RSS improvement considered.
- verbose
Logical verbosity flag.
Value
A list with `model`, `metrics`, and `coefficients`.
