HDtweedie: The Lasso for the Tweedie's Compound Poisson Model Using an IRLS-BMD Algorithm

This package implements a iteratively reweighed least square (IRLS) strategy that incorporates a blockwise majorization decent (BMD) method, for efficiently computing the solution paths of the (grouped) lasso and the (grouped) elastic net for the Tweedie model.

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Package details

AuthorWei Qian <weiqian@stat.umn.edu>, Yi Yang <yiyang@umn.edu>, Hui Zou <hzou@stat.umn.edu>
MaintainerWei Qian <weiqian@stat.umn.edu>
Package repositoryView on CRAN
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HDtweedie documentation built on May 2, 2019, 5:36 a.m.