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pense: Penalized Elastic Net S/MM-Estimator of Regression
Robust penalized (adaptive) elastic net S and M estimators for linear regression. The adaptive methods are proposed in Kepplinger, D. (2023) <doi:10.1016/j.csda.2023.107730> and the non-adaptive methods in Cohen Freue, G. V., Kepplinger, D., Salibián-Barrera, M., and Smucler, E. (2019) <doi:10.1214/19-AOAS1269>. The package implements robust hyper-parameter selection with robust information sharing cross-validation according to Kepplinger & Wei (2025) <doi:10.1080/00401706.2025.2540970>.
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Package details |
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| Author | David Kepplinger [aut, cre], Matías Salibián-Barrera [aut], Gabriela Cohen Freue [aut] |
| Maintainer | David Kepplinger <david.kepplinger@gmail.com> |
| License | MIT + file LICENSE |
| Version | 2.5.2 |
| URL | https://dakep.github.io/pense-rpkg/ https://github.com/dakep/pense-rpkg |
| Package repository | View on CRAN |
| Installation |
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