CatReg
Solution Paths for Linear and Logistic Regression Models with Categorical Predictors, with SCOPE Penalty
Computes solutions for linear and logistic regression models with potentially high-dimensional categorical predictors. This is done by applying a nonconvex penalty (SCOPE) and computing solutions in an efficient path-wise fashion. 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.
- Version2.0.3
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release06/14/2021
Team
Daniel Grose
Rajen Shah
Show author detailsRolesContributorBenjamin Stokell
Show author detailsRolesAuthor
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- Imports2 packages
- Linking To1 package