grpregOverlap

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grpregOverlap fits the regularization paths of linear, logistic, Poisson, or Cox models with overlapping grouped covariates based on the latent group lasso approach (Jacob et al., 2009). Latent group MCP/SCAD as well as bi-level selection methods, namely the group exponential lasso(Breheny, 2015) and the composite MCP (Huang et al., 2012) are also available. This package serves as an extension of R package grpreg (by Dr. Patrick Breheny patrick-breheny@uiowa.edu) for grouped variable selection involving overlaps between groups.

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