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draft scad/mcp #128

Draft

tlienart wants to merge 1 commit into dev from scadmcp

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tlienart commented Sep 14, 2022 •

edited

see #127 , this paper , these slides, R docs pg 12-13. Also this blog post.

(this is not ready, no ETA)

set up comparison with R package
GLR constructor (SCADRegression + MCPRegression) + extend to allow L2 penalty (~similar Elnet)
testing
maybe comparison with package mentioned in Ncvreg wrapper #127

would be curious to know if proxgrad works well on quasi convex empirically.


          draft scad/mcp

f6132c3

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