COSSO, adaptive COSSO, variable selection for nonparametric
smoothing spline (quantile) regression models.
Description
COSSO is the short term for Component Selection and
Smoothing Operator. The new regularization method automatically
selects important function components by a soft-thresholding
penalty in the context of smoothing spline ANOVA models. The
details about the procedures are given in the paper by Lin and
Zhang (2007).