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SMME: Soft Maximin Estimation for Large Scale Heterogeneous Data
Efficient procedure for solving the soft maximin problem for large scale heterogeneous data, see Lund, Mogensen and Hansen (2022) <doi:10.1111/sjos.12580>. Currently Lasso and SCAD penalized estimation is implemented. Note this package subsumes and replaces the SMMA package.
Getting started
Browse package contents
Package details |
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| Author | Adam Lund [aut, cre] |
| Maintainer | Adam Lund <adam.lund@math.ku.dk> |
| License | MIT + file LICENSE |
| Version | 1.1.1 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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