Fix the function corresponding to the intercept
argument. The intercept argument controls whether to include the intercept, but since the SPSP algorithm estimates the intercept separately. It needs to be dealt with separately.
The standardize
only control the standardization of covariates.
Implement the Selection by Partitioning the Solution Paths procedure in the SPSP() and SPSP_step() functions;
Add fitfun.SP functions to obtain the solution paths for the SPSP algorithm;
Include one high-dimensional data for illustration purpose.