penalized (version 0.9-35)
L1 (lasso) and L2 (ridge) penalized estimation in GLMs and in
the Cox model
Description
A package for fitting possibly high dimensional penalized
regression models. The penalty structure can be any combination
of an L1 penalty (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.