thresh_est {HSDiC}

Threshold estimation

Description

Function to implement the soft-, MCP, SCAD thresholding rule in the ADMM method.

Usage

thresh_est(z, lambda, tau, a = 3, penalty = c("MCP", "SCAD", "lasso"))

Arguments

z

a vector where the function is to be evaluated.

lambda

a number representing a tuning parameter.

tau

the penalty parameter in the ADMM method.

a

the tuning parameter of the MCP/SCAD penalty (see details). Default is 3 for MCP and 3.7 for SCAD.

penalty

The penalty to be applied to the model. Either "lasso" (the default), "SCAD", or "MCP".

Value

A vector containing the threshlding values at z.

References

'Pairwise Fusion Approach Incorporating Prior Constraint Information' by Yaguang Li