Description Usage Arguments Details Value Author(s) References See Also
Object of the penalty
class to handle the lasso penalty (Tibshirani, 1996).
1 |
lambda |
regularization parameter. This must be a nonnegative real number. |
... |
further arguments |
The ‘classic’ penalty that incorporates variables selection. As introduced in Tibshirani (1996) the lasso penalty is defined as
P_λ^r (\boldsymbol{β}) = λ ∑_{i=1}^p |β_j|.
An object of the class penalty
. This is a list with elements
penalty |
character: the penalty name. |
lambda |
double: the (nonnegative) regularization parameter. |
getpenmat |
function: computes the diagonal penalty matrix. |
Jan Ulbricht
Tibshirani, R. (1996) Regression shrinkage and selection via the lasso. Journal of the Royal Statistical Society B 58, 267–288.
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