SGL: Fit a GLM (or cox model) with a combination of lasso and group lasso regularization

Fit a regularized generalized linear model via penalized maximum likelihood. The model is fit for a path of values of the penalty parameter. Fits linear, logistic and Cox models.

Install the latest version of this package by entering the following in R:
install.packages("SGL")
AuthorNoah Simon, Jerome Friedman, Trevor Hastie, and Rob Tibshirani
Date of publication2013-04-02 20:51:39
MaintainerNoah Simon <nsimon@stanford.edu>
LicenseGPL
Version1.1

View on CRAN

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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