PerspeCtive M-estimation (PCM)
This is the PCM MATLAB package for perspective M-estimation accompanying the paper Proximal Analysis for Perspective M-estimation. The package introduces an optimization model for maximum likelihood-type estimation (M-estimation) that generalizes a large class of known statistical models, including Huber’s concomitant M- estimation model, the scaled Lasso, Support Vector Machine Regression, and penalized estimation with structured sparsity. The model, termed perspective M-estimation, leverages the observation that convex M-estimators with concomitant scale as well as structured norms are instances of perspective functions.
The code developed here also builds on prior work: Perspective functions: Proximal calculus and applications in high-dimensional statistics
The package is self-contained. No external software needed. Run the addPCM
In the /examples/ folder you find several examples about the different modes of usage.