NVCSSL:Nonparametric Varying Coefficient Spike-and-Slab Lasso
Fits Bayesian regularized varying coefficient models with the Nonparametric Varying Coefficient Spike-and-Slab Lasso
(NVC-SSL) introduced by Bai et al. (2023) <arXiv:1907.06477>.
Functions to fit frequentist penalized varying coefficients are
also provided, with the option of employing the group lasso
penalty of Yuan and Lin (2006)
<doi:10.1111/j.1467-9868.2005.00532.x>, the group minimax
concave penalty (MCP) of Breheny and Huang
<doi:10.1007/s11222-013-9424-2>, or the group smoothly clipped
absolute deviation (SCAD) penalty of Breheny and Huang (2015)
<doi:10.1007/s11222-013-9424-2>.
