SGPR (Q7387589)
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Sparse Group Penalized Regression for Bi-Level Variable Selection
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | SGPR |
Sparse Group Penalized Regression for Bi-Level Variable Selection |
Statements
Fits the regularization path of regression models (linear and logistic) with additively combined penalty terms. All possible combinations with Least Absolute Shrinkage and Selection Operator (LASSO), Smoothly Clipped Absolute Deviation (SCAD), Minimax Concave Penalty (MCP) and Exponential Penalty (EP) are supported. This includes Sparse Group LASSO (SGL), Sparse Group SCAD (SGS), Sparse Group MCP (SGM) and Sparse Group EP (SGE). For more information, see Buch, G., Schulz, A., Schmidtmann, I., Strauch, K., & Wild, P. S. (2024) <doi:10.1002/bimj.202200334>.
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16 May 2024
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