NVCSSL

Nonparametric Varying Coefficient Spike-and-Slab Lasso

CRAN Package

Fits Bayesian regularized varying coefficient models with the Nonparametric Varying Coefficient Spike-and-Slab Lasso (NVC-SSL) introduced by Bai et al. (2023) doi:10.48550/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.

  • Version2.0
  • R version≥ 3.6.0
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release09/17/2023

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  • Imports8 packages