Description Usage Arguments Details Value Author(s) References See Also

Fit a generalized linear model via penalized maximum likelihood. The regularization path is computed for the lasso (or elastic net penalty), snet and mnet penalty, at a grid of values for the regularization parameter lambda. Fits linear, logistic, Poisson and negative binomial (fixed scale parameter) regression models.

1 2 3 4 5 6 | ```
glmreg_fit(x, y, weights, start=NULL, etastart=NULL, mustart=NULL,
nlambda=100, lambda=NULL, lambda.min.ratio=ifelse(nobs<nvars,.05, .001),alpha=1,
gamma=3, rescale=TRUE, standardize=TRUE, penalty.factor = rep(1, nvars),thresh=1e-6,
eps.bino=1e-5, maxit=1000, eps=.Machine$double.eps, theta,
family=c("gaussian", "binomial", "poisson", "negbin"), penalty=c("enet","mnet","snet"),
convex=FALSE, x.keep=FALSE, y.keep=TRUE, trace=FALSE)
``` |

`x` |
input matrix, of dimension nobs x nvars; each row is an observation vector. |

`y` |
response variable. Quantitative for |

`weights` |
observation weights. Can be total counts if responses are proportion matrices. Default is 1 for each observation |

`start` |
starting values for the parameters in the linear predictor. |

`etastart` |
starting values for the linear predictor. |

`mustart` |
starting values for the vector of means. |

`nlambda` |
The number of |

`lambda` |
by default, the algorithm provides a sequence of regularization values, or a user supplied |

`lambda.min.ratio` |
Smallest value for |

`alpha` |
The |

`gamma` |
The tuning parameter of the |

`rescale` |
logical value, if TRUE, adaptive rescaling of the penalty parameter for |

`standardize` |
logical value for x variable standardization, prior to
fitting the model sequence. The coefficients are always returned on
the original scale. Default is |

`penalty.factor` |
This is a number that multiplies |

`thresh` |
Convergence threshold for coordinate descent. Defaults value is |

`eps.bino` |
a lower bound of probabilities to be claimed as zero, for computing weights and related values when |

`maxit` |
Maximum number of coordinate descent iterations for each |

`eps` |
If a coefficient is less than |

`convex` |
Calculate index for which objective function ceases to
be locally convex? Default is FALSE and only useful if |

`theta` |
an overdispersion scaling parameter for |

`family` |
Response type (see above) |

`penalty` |
Type of regularization |

`x.keep, y.keep` |
For glmreg: logical values indicating whether the response vector and model matrix used in the fitting process should be returned as components of the returned value. For glmreg_fit: x is a design matrix of dimension n * p, and x is a vector of observations of length n. |

`trace` |
If |

The sequence of models implied by `lambda`

is fit by coordinate
descent. For `family="gaussian"`

this is the lasso, mcp or scad sequence if
`alpha=1`

, else it is the enet, mnet or snet sequence.
For the other families, this is a lasso (mcp, scad) or elastic net (mnet, snet) regularization path
for fitting the generalized linear regression
paths, by maximizing the appropriate penalized log-likelihood.
Note that the objective function for `"gaussian"`

is

*1/2*
weights*RSS + λ*penalty,*

if `standardize=FALSE`

and

*1/2*
\frac{weights}{∑(weights)}*RSS + λ*penalty,*

if `standardize=TRUE`

. For the other models it is

*-∑ (weights * loglik) + λ*penalty*

if `standardize=FALSE`

and

*-\frac{weights}{∑(weights)} * loglik + λ*penalty*

if `standardize=TRUE`

.

An object with S3 class `"glmreg"`

for the various types of models.

`call` |
the call that produced the model fit |

`b0` |
Intercept sequence of length |

`beta` |
A |

`lambda` |
The actual sequence of |

`satu` |
satu=1 if a saturated model (deviance/null deviance < 0.05) is fit. Otherwise satu=0. The number of |

`dev` |
The computed deviance (for |

`nulldev` |
Null deviance (per observation). This is defined to be 2*(loglike_sat -loglike(Null)); The NULL model refers to the intercept model. |

`nobs` |
number of observations |

Zhu Wang <[email protected]>

Breheny, P. and Huang, J. (2011) *Coordinate descent
algorithms for nonconvex penalized regression, with applications to
biological feature selection*. *Ann. Appl. Statist.*, **5**: 232-253.

Zhu Wang, Shuangge Ma, Michael Zappitelli, Chirag Parikh, Ching-Yun Wang and Prasad Devarajan (2014)
*Penalized Count Data Regression with Application to Hospital Stay after Pediatric Cardiac Surgery*, *Statistical Methods in Medical Research*. 2014 Apr 17. [Epub ahead of print]

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.