Sparse Generalized Additive Models
Description
Fits sparse frequentist GAMs (SF-GAM) for continuous and discrete responses in the exponential dispersion family with the group lasso, group smoothly clipped absolute deviation (SCAD), and group minimax concave (MCP) penalties . Also fits sparse Bayesian generalized additive models (SB-GAM) with the spike-and-slab group lasso (SSGL) penalty of Bai et al. (2021) . B-spline basis functions are used to model the sparse additive functions. Stand-alone functions for group-regularized negative binomial regression, group-regularized gamma regression, and group-regularized regression in the exponential dispersion family with the SSGL penalty are also provided.