doi:10.48550/arXiv.1712.03561>. The approach fits linear regression models that split the set of covariates into groups. The optimal split of the variables into groups and the regularized estimation of the regression coefficients are performed by minimizing an objective function that encourages sparsity within each group and diversity among them. The estimated coefficients are then pooled together to form the final fit.">

SplitReg: Split Regularized Regression (original) (raw)

Functions for computing split regularized estimators defined in Christidis, Lakshmanan, Smucler and Zamar (2019) <doi:10.48550/arXiv.1712.03561>. The approach fits linear regression models that split the set of covariates into groups. The optimal split of the variables into groups and the regularized estimation of the regression coefficients are performed by minimizing an objective function that encourages sparsity within each group and diversity among them. The estimated coefficients are then pooled together to form the final fit.

Version: 1.0.3
Imports: Rcpp (≥ 0.12.12)
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat, glmnet, MASS
Published: 2025-03-30
DOI: 10.32614/CRAN.package.SplitReg
Author: Anthony Christidis [aut, cre], Ezequiel Smucler [aut], Ruben Zamar [aut]
Maintainer: Anthony Christidis <anthony.christidis at stat.ubc.ca>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README,
CRAN checks: SplitReg results

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