CatReg
R package CatReg: Solution Paths for Linear and Logistic Regression Models with SCOPE Penalty. Computes solutions for linear and logistic regression models with a nonconvex penalty (SCOPE) in an efficient path-wise fashion (Stokell, Shah and Tibshirani 2020, <arXiv:2002.12606>). The scaling of the solution paths is selected automatically. Includes functionality for selecting tuning parameter lambda by k-fold cross-validation and early termination based on information criteria. Solutions are computed by cyclical block-coordinate descent, iterating an innovative dynamic programming algorithm to compute exact solutions for each block.
Keywords for this software
References in zbMATH (referenced in 1 article , 1 standard article )
Showing result 1 of 1.
Sorted by year (