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) <doi:10.48550/arXiv.1804.07780>. An implementation for the case of the exponential distribution is also available, with details available in Chen and Martin (2018) <doi:10.2139/ssrn.3085672>.

Getting started

Package details

AuthorAnthony Christidis [aut, cre], Xin Chen [aut], Daniel Hanson [aut]
MaintainerAnthony Christidis <anthony.christidis@stat.ubc.ca>
LicenseGPL (>= 2)
Version1.1.3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("RPEGLMEN")

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RPEGLMEN documentation built on April 4, 2025, 1:52 a.m.