l2e_regression_sparse_dist performs robust sparse regression under the L2 criterion with the distance penalty
l2e_regression_sparse_dist(
y,
X,
beta,
tau,
k,
rho = 1,
stepsize = 0.9,
sigma = 0.5,
max_iter = 100,
tol = 1e-04,
Show.Time = TRUE
)Response vector
Design matrix
Initial vector of regression coefficients
Initial precision estimate
The number of nonzero entries in the estimated coefficients
The parameter in the proximal distance algorithm
The stepsize parameter for the MM algorithm (0, 1)
The halving parameter sigma (0, 1)
Maximum number of iterations
Relative tolerance
Report the computing time