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.

Package details

AuthorNoah Simon, Jerome Friedman, Trevor Hastie, and Rob Tibshirani
MaintainerNoah Simon <[email protected]>
LicenseGPL
Version1.2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("SGL")

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SGL documentation built on Dec. 21, 2018, 5:06 p.m.