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Given a linear model Y=Î²0âˆ—+Xâˆ—âŠ¤Î²âˆ—+Îµ, Îµâˆ¼N(0,Ïƒâˆ—2).
run simulations for five methods:
- LASSO (Tibshirani; 1996)
- least angle regression LARS(Efron et al.; 2004) (Skip LARS for logistic models).
- elastic net (Zou and Hastie; 2005)
- SCAD (Fan and Li; 2001)
- MCP (Zhang; 2010)
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