multiridge: Fast Cross-Validation for Multi-Penalty Ridge Regression

Multi-penalty linear, logistic and cox ridge regression, including estimation of the penalty parameters by efficient (repeated) cross-validation and marginal likelihood maximization. Multiple high-dimensional data types that require penalization are allowed, as well as unpenalized variables. Paired and preferential data types can be specified. See Van de Wiel et al. (2021), <arXiv:2005.09301>.

Package details

AuthorMark A. van de Wiel
MaintainerMark A. van de Wiel <mark.vdwiel@amsterdamumc.nl>
LicenseGPL (>= 3)
Version1.9
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("multiridge")

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multiridge documentation built on June 15, 2021, 9:08 a.m.