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Approximates best-subset selection (L0) regression with an iteratively adaptive Ridge (L2) penalty for large-scale models. This package uses Cyclops for an efficient implementation and the iterative method is described in Kawaguchi et al (2020) doi:10.1002/sim.8438 and Li et al (2021) doi:10.1016/j.jspi.2020.12.001.
| Citation | BrokenAdaptiveRidge citation info |
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