penalized (version 0.9-52)

L1 (Lasso and Fused Lasso) and L2 (Ridge) Penalized Estimation in GLMs and in the Cox Model

Description

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.

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Install

install.packages('penalized')

Monthly Downloads

3,761

Version

0.9-52

License

GPL (>= 2)

Maintainer

Last Published

April 23rd, 2022

Functions in penalized (0.9-52)