NVCSSL

CRANNVCSSLMaRDI QIDQ137299FDOQ137299

Nonparametric Varying Coefficient Spike-and-Slab Lasso

Ray Bai

Last update: 17 September 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.0, 2.0

Description

Fits Bayesian regularized varying coefficient models with the Nonparametric Varying Coefficient Spike-and-Slab Lasso (NVC-SSL) introduced by Bai et al. (2023) <arXiv:1907.06477>. Functions to fit frequentist penalized varying coefficients are also provided, with the option of employing the group lasso penalty of Yuan and Lin (2006) <doi:10.1111/j.1467-9868.2005.00532.x>, the group minimax concave penalty (MCP) of Breheny and Huang <doi:10.1007/s11222-013-9424-2>, or the group smoothly clipped absolute deviation (SCAD) penalty of Breheny and Huang (2015) <doi:10.1007/s11222-013-9424-2>.

Cites work

• Model Selection and Estimation in Regression with Grouped Variables
• Fast Algorithms and Theory for High-Dimensional Bayesian Varying Coefficient Models
• Unnamed Publication

This page was built for software: NVCSSL