update_beta_sparse_ncv: Beta update in L2E sparse regression - NCV

In jocelynchi/L2E-package-demo: Robust Structured Regression via the L2 Criterion

Beta update in L2E sparse regression - NCV

Description

update_beta_sparse_ncv updates beta for L2E sparse regression using existing penalization methods

Usage

update_beta_sparse_ncv(
  y,
  X,
  beta,
  tau,
  lambda,
  penalty,
  max_iter = 100,
  tol = 1e-04
)

Arguments

y	Response vector
X	Design matrix
beta	Initial vector of regression coefficients
tau	Initial precision estimate
lambda	Tuning parameter
penalty	Available penalties include lasso, MCP and SCAD.
max_iter	Maximum number of iterations
tol	Relative tolerance

Value

Returns a list object containing the new estimate for beta (vector) and the number of iterations (scalar) the update step utilized

jocelynchi/L2E-package-demo documentation built on Oct. 6, 2022, 6:05 a.m.