RPEGLMEN: Gamma and Exponential Generalized Linear Models with Elastic Net Penalty

Implements the fast iterative shrinkage-thresholding algorithm (FISTA) algorithm to fit a Gamma distribution with an elastic net penalty as described in Chen, Arakvin and Martin (2018) <arxiv:1804.07780>. An implementation for the case of the exponential distribution is also available, with details available in Chen and Martin (2018) <https://papers.ssrn.com/abstract_id=3085672>.

Getting started

Package details

AuthorAnthony Christidis <anthony.christidis@stat.ubc.ca>, Xin Chen <chenx26@uw.edu>, Daniel Hanson <hansondj@uw.edu>
MaintainerAnthony Christidis <anthony.christidis@stat.ubc.ca>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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RPEGLMEN documentation built on Oct. 25, 2020, 9:06 a.m.