Multi-Step Adaptive Estimation Methods for Sparse Regressions

Multi-step adaptive elastic-net (MSAENet) algorithm for feature selection in high-dimensional regressions proposed in Xiao and Xu (2015) , with additional support for multi-step adaptive MCP-net (MSAMNet) and multi-step adaptive SCAD-net (MSASNet) methods.


msaenet implements the multi-step adaptive elastic-net (MSAENet) algorithm for feature selection in high-dimensional regressions proposed in Xiao and Xu (2015) <DOI:10.1080/00949655.2015.1016944> (PDF).

Formatted citation:

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), 3755-3765.

BibTeX entry:

@article{xiao2015msaenet,
  title={Multi-step adaptive elastic-net: reducing false positives in high-dimensional variable selection},
  author={Xiao, Nan and Xu, Qing-Song},
  journal={Journal of Statistical Computation and Simulation},
  volume={85},
  number={18},
  pages={3755--3765},
  year={2015},
  publisher={Taylor \& Francis}
}

To download and install msaenet from CRAN:

install.packages("msaenet")

Or try the development version on GitHub:

# install.packages("devtools")
devtools::install_github("road2stat/msaenet")

To load the package in R, simply use

library("msaenet")

and you are all set. See the vignette (can be opened with vignette("msaenet") in R) for a quick-start guide.

News

msaenet 1.1 (2016-12-28)

  • Added method coef for extracting model coefficients. See ?coef.msaenet for details.
  • New website (http://msaenet.com) generated by pkgdown, with a full set of function documentation and vignettes available.
  • Added Windows continuous integration support using AppVeyor.

msaenet 1.0 (2016-09-20)

  • Initial version of the msaenet package

Reference manual

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install.packages("msaenet")

2.6 by Nan Xiao, 5 months ago


https://msaenet.com, https://github.com/road2stat/msaenet


Report a bug at https://github.com/road2stat/msaenet/issues


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


Authors: Nan Xiao [aut, cre]


Documentation:   PDF Manual  


GPL-3 | file LICENSE license


Imports glmnet, ncvreg, foreach, mvtnorm, survival, Matrix

Suggests knitr, rmarkdown, doParallel


See at CRAN