Non-convex regularization penalty

Compute the specified non-convex regularization penalty.

Usage

pen(penalty, Omega, lambda, gamma)

Arguments

penalty

A character string specifying the non-convex penalty to use. Available options include:

1. "atan": arctangent type penalty wang2016variablefcstat.

2. "exp": exponential type penalty wang2018variablefcstat.

3. "mcp": minimax concave penalty zou2006adaptivefcstat.

4. "scad": smoothly clipped absolute deviation fan2001variable,fan2009networkfcstat.

Omega

The precision matrix.

lambda

A scalar specifying the regularization parameter.

gamma

A scalar specifying the hyperparameter for the penalty function. The defaults are:

1. "atan": 0.005

2. "exp": 0.01

3. "mcp": 3

4. "scad": 3.7

Value

A numeric matrix.

References