r-cran-penalized 0.9-42

Jelle Goeman, Rosa Meijer, Nimisha Chaturvedi — Tue, 06 Nov 2012 00:00:00 -0000

L1 (lasso and fused lasso) and L2 (ridge) penalized estimation in GLMs and in the Cox model: A package for fitting possibly high dimensional penalized regression models. The penalty structure can be any combination of an L1 penalty (lasso and fused lasso), an L2 penalty (ridge) and a positivity constraint on the regression coefficients. The supported regression models are linear, logistic and poisson regression and the Cox Proportional Hazards model. Cross-validation routines allow optimization of the tuning parameters.

mloss.org r-cran-penalized

r-cran-penalized 0.9-42