oem-package: Orthogonalizing EM algorithm for penalized least squares problem.

Description

This package fits various different penalized least squares regression including LASSO, MCP and so on. The algorithm utilized is called Orthogonalizing Expectation Maximization (OEM).

Arguments

Details

ll{ Package: oem Type: Package Version: 1.0 Date: 2012-07-25 License: GPL (>= 2) } Very simple to use. Accepts x,y data for regression models, and produces the regularization path over a grid of values for the tuning parameter lambda. Only 5 functions: oemfit predict.oemfit plot.oemfit print.oemfit coef.oemfit

References

Xiong, S., Dai, B. and Qian, P. Z. G. (2011), Orthogonalizing Penalized Regression, http://www.stat.wisc.edu/~zhiguang/OEM.pdf

Examples

Run this code

x=matrix(rnorm(100*20),100,20)
y=rnorm(100)
fit <- oemfit(y~x)

Run the code above in your browser using DataLab