SMME: Soft Maximin Estimation for Large Scale Heterogeneous Data (original) (raw)
Efficient procedure for solving the soft maximin problem for large scale heterogeneous data, see Lund, Mogensen and Hansen (2022) <doi:10.1111/sjos.12580>. Currently Lasso and SCAD penalized estimation is implemented. Note this package subsumes and replaces the SMMA package.
| Version: | 1.1.1 |
|---|---|
| Imports: | Rcpp (≥ 0.12.12) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Published: | 2023-01-08 |
| DOI: | 10.32614/CRAN.package.SMME |
| Author: | Adam Lund [aut, cre] |
| Maintainer: | Adam Lund <adam.lund at math.ku.dk> |
| License: | MIT + file |
| NeedsCompilation: | yes |
| CRAN checks: | SMME results [issues need fixing before 2025-11-15] |
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