An R package for fitting the multivariate square-root lasso estimator as described in the article New insights for the multivariate square-root lasso. Please contact amolstad@umn.edu with any comments or questions.
If you use any of the software from this repository, please cite the article linked above. The bibtex entry is
@article{JMLR:v23:20-064,
author = {Aaron J. Molstad},
title = {New Insights for the Multivariate Square-Root Lasso},
journal = {Journal of Machine Learning Research},
year = {2022},
volume = {23},
number = {66},
pages = {1--52},
url = {http://jmlr.org/papers/v23/20-064.html}
}
Please visit this example page for details on implementation and usage.
In 2024, an R package including both lasso and group-lasso penalties will be released.