Pathwise Calibrated Sparse Shooting Algorithm
Extract Model Coefficients for an object with S3 class "gaussian"
Extract Model Coefficients for an object with S3 class "logit"
Extract Model Coefficients for an object with S3 class "poisson"
Extract Model Coefficients for an object with S3 class "sqrtlasso"
PICASSO: PathwIse CAlibrated Sparse Shooting algOrithm
PathwIse CAlibrated Sparse Shooting algOrithm (PICASSO)
Plot Function for "gaussian"
Plot Function for "logit"
Plot Function for "poisson"
Plot Function for "sqrtlasso"
Prediction for an object with S3 class "gaussian"
Prediction for an object with S3 class "logit"
Prediction for an object with S3 class "poisson"
Prediction for an object with S3 class "sqrtlasso"
Print Function for an object with S3 class "gaussian"
Print Function for an object with S3 class "logit"
Print Function for an object with S3 class poisson
Print Function for an object with S3 class "sqrtlasso"
Computationally efficient tools for fitting generalized linear model with convex or non-convex penalty. Users can enjoy the superior statistical property of non-convex penalty such as SCAD and MCP which has significantly less estimation error and overfitting compared to convex penalty such as lasso and ridge. Computation is handled by multi-stage convex relaxation and the PathwIse CAlibrated Sparse Shooting algOrithm (PICASSO) which exploits warm start initialization, active set updating, and strong rule for coordinate preselection to boost computation, and attains a linear convergence to a unique sparse local optimum with optimal statistical properties. The computation is memory-optimized using the sparse matrix output.