MultiStep Adaptive MCPNet
msamnet(x, y, family = c("gaussian", "binomial", "poisson", "cox"), init = c("mnet", "ridge"), gammas = 3, alphas = seq(0.05, 0.95, 0.05), tune = c("cv", "ebic", "bic", "aic"), nfolds = 5L, ebic.gamma = 1, nsteps = 2L, tune.nsteps = c("max", "ebic", "bic", "aic"), ebic.gamma.nsteps = 1, scale = 1, eps = 1e04, max.iter = 10000L, penalty.factor.init = rep(1, ncol(x)), seed = 1001, parallel = FALSE, verbose = FALSE)
x  Data matrix. 

y  Response vector if 
family  Model family, can be 
init  Type of the penalty used in the initial
estimation step. Can be 
gammas  Vector of candidate 
alphas  Vector of candidate 
tune  Parameter tuning method for each estimation step.
Possible options are 
nfolds  Fold numbers of crossvalidation when 
ebic.gamma  Parameter for Extended BIC penalizing
size of the model space when 
nsteps  Maximum number of adaptive estimation steps.
At least 
tune.nsteps  Optimal step number selection method
(aggregate the optimal model from the each step and compare).
Options include 
ebic.gamma.nsteps  Parameter for Extended BIC penalizing
size of the model space when 
scale  Scaling factor for adaptive weights:

eps  Convergence threshhold to use in MCPnet. 
max.iter  Maximum number of iterations to use in MCPnet. 
penalty.factor.init  The multiplicative factor for the penalty
applied to each coefficient in the initial estimation step. This is
useful for incorporating prior information about variable weights,
for example, emphasizing specific clinical variables. To make certain
variables more likely to be selected, assign a smaller value.
Default is 
seed  Random seed for crossvalidation fold division. 
parallel  Logical. Enable parallel parameter tuning or not,
default is FALSE. To enable parallel tuning, load the

verbose  Should we print out the estimation progress? 
List of model coefficients, ncvreg
model object,
and the optimal parameter set.
dat < msaenet.sim.gaussian( n = 150, p = 500, rho = 0.6, coef = rep(1, 5), snr = 2, p.train = 0.7, seed = 1001 ) msamnet.fit < msamnet( dat$x.tr, dat$y.tr, alphas = seq(0.3, 0.9, 0.3), nsteps = 3L, seed = 1003 ) print(msamnet.fit)#> Call: msamnet(x = dat$x.tr, y = dat$y.tr, alphas = seq(0.3, 0.9, 0.3), #> nsteps = 3L, seed = 1003) #> Df Lambda Gamma Alpha #> 1 2 0.4303307 3 0.9msaenet.nzv(msamnet.fit)#> [1] 2 4#> [1] 0#> [1] 2#> [1] 2.724557plot(msamnet.fit)