CatReg: Solution Paths for Linear and Logistic Regression Models with SCOPE Penalty

Computes solutions for linear and logistic regression models with a nonconvex penalty (SCOPE) in an efficient path-wise fashion (Stokell, Shah and Tibshirani 2020, <arXiv:2002.12606>). The scaling of the solution paths is selected automatically. Includes functionality for selecting tuning parameter lambda by k-fold cross-validation and early termination based on information criteria. Solutions are computed by cyclical block-coordinate descent, iterating an innovative dynamic programming algorithm to compute exact solutions for each block.

Version: 1.0.0
Imports: Rcpp (≥ 1.0.1), Rdpack
LinkingTo: Rcpp
Published: 2020-03-14
Author: Benjamin Stokell [aut], Daniel Grose [ctb, cre], Rajen Shah [ctb]
Maintainer: Daniel Grose <dan.grose at lancaster.ac.uk>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: CatReg results

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Reference manual: CatReg.pdf
Package source: CatReg_1.0.0.tar.gz
Windows binaries: r-prerelease: CatReg_1.0.0.zip, r-release: CatReg_1.0.0.zip, r-oldrel: CatReg_1.0.0.zip
macOS binaries: r-prerelease: CatReg_1.0.0.tgz, r-release: CatReg_1.0.0.tgz, r-oldrel: CatReg_1.0.0.tgz

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