SMMA: Soft Maximin Estimation for Large Scale Array-Tensor Models

Efficient design matrix free procedure for solving a soft maximin problem for large scale array-tensor structured models, see Lund, Mogensen and Hansen (2019) <arXiv:1805.02407>. Currently Lasso and SCAD penalized estimation is implemented.

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Package details

AuthorAdam Lund
MaintainerAdam Lund <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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SMMA documentation built on Sept. 17, 2020, 5:08 p.m.