luederm/penalizedcpp: L1 (Lasso and Fused Lasso) and L2 (Ridge) Penalized Estimation in GLMs and in the Cox Model

Fitting possibly high dimensional penalized regression models. The penalty structure can be any combination of an L1 penalty (lasso and fused lasso), an L2 penalty (ridge) and a positivity constraint on the regression coefficients. The supported regression models are linear, logistic and Poisson regression and the Cox Proportional Hazards model. Cross-validation routines allow optimization of the tuning parameters.

Getting started

Package details

AuthorJelle Goeman, Rosa Meijer, Nimisha Chaturvedi, Matthew Lueder
MaintainerJelle Goeman <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
luederm/penalizedcpp documentation built on May 21, 2017, 3:41 p.m.