grpsel (Q97373)
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Group Subset Selection
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | grpsel |
Group Subset Selection |
Statements
28 November 2024
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Provides tools for sparse regression modelling with grouped predictors using the group subset selection penalty. Uses coordinate descent and local search algorithms to rapidly deliver near optimal estimates. The group subset penalty can be combined with a group lasso or ridge penalty for added shrinkage. Linear and logistic regression are supported, as are overlapping groups.
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