l2e_regression_sparse_dist {L2E}

L2E sparse regression with distance penalization

Description

l2e_regression_sparse_dist performs robust sparse regression under the L2 criterion with the distance penalty

Usage

l2e_regression_sparse_dist(
  y,
  X,
  beta,
  tau,
  k,
  rho = 1,
  stepsize = 0.9,
  sigma = 0.5,
  max_iter = 100,
  tol = 1e-04,
  Show.Time = TRUE
)

Arguments

y

Response vector

X

Design matrix

beta

Initial vector of regression coefficients

tau

Initial precision estimate

k

The number of nonzero entries in the estimated coefficients

rho

The parameter in the proximal distance algorithm

stepsize

The stepsize parameter for the MM algorithm (0, 1)

sigma

The halving parameter sigma (0, 1)

max_iter

Maximum number of iterations

tol

Relative tolerance

Show.Time

Report the computing time