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penalized (version 0.9-36)

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.

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Install

install.packages('penalized')

Monthly Downloads

2,579

Version

0.9-36

License

GPL (>= 2)

Maintainer

Last Published

August 9th, 2011

Functions in penalized (0.9-36)