Soft Maximin Estimation for Large Scale Heterogeneous Data

Efficient procedure for solving the soft maximin problem for large scale heterogeneous data, see Lund, Mogensen and Hansen (2021) . Currently Lasso and SCAD penalized estimation is implemented. Note this package subsumes and replaces the SMMA package.


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install.packages("SMME")

1.0.1 by Adam Lund, 11 days ago


Browse source code at https://github.com/cran/SMME


Authors: Adam Lund


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp

Linking to Rcpp, RcppArmadillo


See at CRAN