SplitReg: Split Regularized Regression

Functions for computing split regularized estimators defined in Christidis, Lakshmanan, Smucler and Zamar (2019) <arXiv:1712.03561>. The approach fits linear regression models that split the set of covariates into groups. The optimal split of the variables into groups and the regularized estimation of the regression coefficients are performed by minimizing an objective function that encourages sparsity within each group and diversity among them. The estimated coefficients are then pooled together to form the final fit.

Getting started

Package details

AuthorAnthony Christidis <anthony.christidis@stat.ubc.ca>, Ezequiel Smucler <ezequiels.90@gmail.com>, Ruben Zamar <ruben@stat.ubc.ca>
MaintainerAnthony Christidis <anthony.christidis@stat.ubc.ca>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

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SplitReg documentation built on March 26, 2020, 7:26 p.m.