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Licence: GNU GPL
Research output: Exhibits, objects and web-based outputs › Software
Research output: Exhibits, objects and web-based outputs › Software
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TY - ADVS
T1 - CatReg: Solution Paths for Linear and Logistic Regression Models with SCOPE Penalty
A2 - Benjamin Stokell
A2 - Rajen Shah
A2 - Grose, Daniel
PY - 2020/3/14
Y1 - 2020/3/14
N2 - Computes solutions for linear and logistic regression models with a nonconvex penalty (SCOPE) in an efficient path-wise fashion (Stokell, Shah and Tibshirani 2020, ). 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.
AB - Computes solutions for linear and logistic regression models with a nonconvex penalty (SCOPE) in an efficient path-wise fashion (Stokell, Shah and Tibshirani 2020, ). 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.
M3 - Software
ER -