Beta update in L2E sparse regression - NCV

update_beta_sparse_ncv updates beta for L2E sparse regression using existing penalization methods

update_beta_sparse_ncv(
  y,
  X,
  beta,
  tau,
  lambda,
  penalty,
  max_iter = 100,
  tol = 1e-04
)

Arguments

y

Response vector
X

Design matrix
beta

Initial vector of regression coefficients
tau

Initial precision estimate
lambda

Tuning parameter
penalty

Available penalties include lasso, MCP and SCAD.
max_iter

Maximum number of iterations
tol

Relative tolerance

Value

Returns a list object containing the new estimate for beta (vector) and the number of iterations (scalar) the update step utilized