lassoshooting (version 0.1.5-1.1)
L1 Regularized Regression (Lasso) Solver using the Cyclic
Coordinate Descent Algorithm aka Lasso Shooting
Description
L1 regularized regression (Lasso) solver using the Cyclic
Coordinate Descent algorithm aka Lasso Shooting is fast. This
implementation can choose which coefficients to penalize. It
support coefficient-specific penalties and it can take X'X and
X'y instead of X and y.