Group Subset Selection
Coefficient function for cv.grpsel object
Coefficient function for grpsel object
Cross-validated group subset selection
Group subset selection
Plot function for cv.grpsel object
Plot function for grpsel object
Predict function for cv.grpsel object
Predict function for grpsel object
Provides tools for sparse regression modelling with grouped predictors using the group subset selection penalty. Uses coordinate descent and local search algorithms to rapidly deliver near optimal estimates. The group subset penalty can be combined with a group lasso or ridge penalty for added shrinkage. Linear and logistic regression are supported, as are overlapping groups.