update_beta_sparse_ncv

<code>update_beta_sparse_ncv</code> updates beta for L2E sparse regression using existing penalization methods

An implementation of a computational framework for performing robust structured regression with the L2 criterion
from Chi and Chi (2021+). Improvements using the majorization-minimization (MM) principle from Liu, Chi, and
Lange (2022+) added in Version 2.0.

Jocelyn Chi

Robust Structured Regression via the L2 Criterion

Xiaoqian Liu

Lisa Lin

Kenneth Lange

Eric Chi

update_beta_sparse_ncv function

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

Arguments

Beta update in L2E sparse regression - NCV — update_beta_sparse_ncv

<dl>

<dt>y</dt>
<dd>Response vector</dd>


<dt>X</dt>
<dd>Design matrix</dd>


<dt>beta</dt>
<dd>Initial vector of regression coefficients</dd>


<dt>tau</dt>
<dd>Initial precision estimate</dd>


<dt>lambda</dt>
<dd>Tuning parameter</dd>


<dt>penalty</dt>
<dd>Available penalties include lasso, MCP and SCAD.</dd>


<dt>max_iter</dt>
<dd>Maximum number of iterations</dd>


<dt>tol</dt>
<dd>Relative tolerance</dd>

</dl>

update_beta_sparse_ncv: Beta update in L2E sparse regression - NCV

Description

Usage

Value

Arguments