GGMncv
Estimate Gaussian graphical models with nonconvex penalties, including methods described by Williams (2020) <doi:10.31234/osf.io/ad57p>. Penalties include atan (Wang and Zhu, 2016) <doi:10.1155/2016/6495417>, seamless L0 (Dicker, Huang and Lin, 2013) <doi:10.5705/ss.2011.074>, exponential (Wang, Fan and Zhu, 2018) <doi:10.1007/s10463-016-0588-3>, smooth integration of counting and absolute deviation (Lv and Fan, 2009) <doi:10.1214/09-AOS683>, logarithm (Mazumder, Friedman and Hastie, 2011) <doi:10.1198/jasa.2011.tm09738>, Lq, smoothly clipped absolute deviation (Fan and Li, 2001) <doi:10.1198/016214501753382273>, and minimax concave penalty (Zhang, 2010) <doi:10.1214/09-AOS729>. The package also provides extensions for variable inclusion probabilities, multiple regression coefficients, and statistical inference (Janková and van de Geer, 2015) <doi:10.1214/15-EJS1031>.
- A unified approach to model selection and sparse recovery using regularized least squares
- Beyond Lasso: A Survey of Nonconvex Regularization in Gaussian Graphical Models
- Confidence intervals for high-dimensional inverse covariance estimation
- Nearly unbiased variable selection under minimax concave penalty
- SparseNet: Coordinate Descent With Nonconvex Penalties
- Variable selection and estimation using a continuous approximation to the L₀ L 0 penalty
- Variable selection and estimation with the seamless-L0 penalty models
- Variable Selection and Parameter Estimation with the Atan Regularization Method
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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