L2E (version 2.0)

l2e_regression_sparse_ncv: L2E sparse regression with existing penalization methods

Description

l2e_regression_sparse_ncv performs robust sparse regression under the L2 criterion. Available penalties include lasso, MCP and SCAD.

Usage

l2e_regression_sparse_ncv(
  y,
  X,
  beta,
  tau,
  lambda,
  penalty,
  max_iter = 100,
  tol = 1e-04,
  Show.Time = TRUE
)

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

Show.Time

Report the computing time