penalized (version 0.9-42)
L1 (lasso and fused 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 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.