cv_pense_mstep: Cross Validate Penalized Elastic Net S-Estimator (PENSEM)
In abnormally-distributed/cvreg: Cross Validation and Robust Estimation Utilities

Cross Validate Penalized Elastic Net S-Estimator (PENSEM)

cv_pense_mstep(
  formula,
  data,
  fit,
  realpha = FALSE,
  cv.method = "boot632",
  nfolds = 5,
  nrep = 4,
  folds = NULL,
  select = "oneSE",
  tunlen = 10,
  crit = "MAE",
  max.c = 2
)

`formula`	a model formula
`data`	a training data set
`cv.method`	preferably one of "boot632" (the default), "cv", or "repeatedcv".
`nfolds`	the number of bootstrap or cross-validation folds to use. defaults to 5.
`nrep`	the number of repetitions for cv.method = "repeatedcv". defaults to 4.
`folds`	a vector of pre-set cross-validation or bootstrap folds from caret::createResample or caret::createFolds.
`select`	the selection rule to use. Should be one of "best" or "oneSE" (the default).
`tunlen`	the number of values for the unknown hyperparameter to test. defaults to 10.
`crit`	the criterion by which to evaluate the model performance. must be one of "MAE" (the default) or "MSE".
`max.c`	the largest value of the constant for calculating lambda. defaults to 8, but may be adjusted. for example, if the error metric becomes constant after a certain value of C, it may be advisable to lower max.c to a smaller value to obtain a more fine-grained grid over the plausible values.