picreg: Variable Selection using the Pivotal Information Criterion

Sparse regression and classification via the Pivotal Information Criterion (PIC), an alternative to the Bayesian Information Criterion (BIC), cross-validation, and Lasso-based tuning. The regularization parameter is selected from a pivotal null-distribution statistic, eliminating the need for cross-validation and yielding sharper support recovery. Provides Fast Iterative Shrinkage-Thresholding Algorithm (FISTA) optimization for the L1, Smoothly Clipped Absolute Deviation (SCAD), and Minimax Concave Penalty (MCP) penalties across six response distributions: Gaussian, binomial, Poisson, exponential, Gumbel, and Cox. Under standard sparsity assumptions, the selector achieves a phase transition for exact support recovery, analogous to results in compressed sensing. See Sardy, van Cutsem and van de Geer (2026) <doi:10.48550/arXiv.2603.04172>.

Version:	0.1.3
Depends:	R (≥ 3.6.0)
Imports:	stats, graphics, grDevices, parallel, future, future.apply, Matrix, Rcpp (≥ 1.0.10)
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	testthat (≥ 3.0.0), knitr, rmarkdown, xfun, glmnet
Published:	2026-06-04
DOI:	10.32614/CRAN.package.picreg
Author:	Maxime van Cutsem [aut, cre], Sylvain Sardy [aut]
Maintainer:	Maxime van Cutsem <maxime.vancutsem at unige.ch>
BugReports:	https://github.com/VcMaxouuu/picreg/issues
License:	GPL-2
URL:	https://github.com/VcMaxouuu/picreg, https://vcmaxouuu.github.io/picreg/
NeedsCompilation:	yes
SystemRequirements:	C++17
Materials:	README, NEWS
CRAN checks:	picreg results [issues need fixing before 2026-06-17]

Documentation:

Reference manual:	picreg.html , picreg.pdf
Vignettes:	An introduction to picreg (source, R code)

Downloads:

Package source:	picreg_0.1.3.tar.gz
Windows binaries:	r-devel: not available, r-release: picreg_0.1.2.zip, r-oldrel: not available
macOS binaries:	r-release (arm64): picreg_0.1.2.tgz, r-oldrel (arm64): picreg_0.1.2.tgz, r-release (x86_64): picreg_0.1.2.tgz, r-oldrel (x86_64): picreg_0.1.2.tgz
Old sources:	picreg archive

Linking:

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