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.


Reference manual

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1.0.1 by Adam Lund, 3 months ago

Browse source code at

Authors: Adam Lund

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Rcpp

Linking to Rcpp, RcppArmadillo

See at CRAN