CatReg: Solution Paths for Linear and Logistic Regression Models with SCOPE Penalty

Grose, Daniel (2020) CatReg: Solution Paths for Linear and Logistic Regression Models with SCOPE Penalty. UNSPECIFIED.

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Abstract

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.

Item Type:
Other
Additional Information:
Online
ID Code:
143555
Deposited By:
Deposited On:
28 Apr 2020 09:30
Refereed?:
No
Published?:
Published
Last Modified:
29 Jun 2020 23:52