msaenet implements the multi-step adaptive elastic-net (MSAENet) algorithm for feature selection in high-dimensional regressions proposed in Xiao and Xu (2015) [PDF].
Nonconvex multi-step adaptive estimations based on MCP-net or SCAD-net are also supported.
Check vignette("msaenet") to get started.
You can install msaenet from CRAN:
Or try the development version on GitHub:
CitationTo cite the msaenet package in publications, please use
Nan Xiao and Qing-Song Xu. (2015). Multi-step adaptive elastic-net: reducing false positives in high-dimensional variable selection. Journal of Statistical Computation and Simulation 85(18), 3755â3765.
A BibTeX entry for LaTeX users is
Gallery Adaptive Elastic-Net / Multi-Step Adaptive Elastic-Net Adaptive MCP-Net / Multi-Step Adaptive MCP-Net Adaptive SCAD-Net / Multi-Step Adaptive SCAD-Net ContributeTo contribute to this project, please take a look at the Contributing Guidelines first. Please note that the msaenet project is released with a Contributor Code of Conduct. By contributing to this project, you agree to abide by its terms.
Licensemsaenet is free and open source software, licensed under GPL-3.
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