penalized (0.9-50)

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L1 (Lasso and Fused Lasso) and L2 (Ridge) Penalized Estimation in GLMs and in the Cox Model.

http://cran.r-project.org/web/packages/penalized

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.

Maintainer: Jelle Goeman
Author(s): Jelle Goeman, Rosa Meijer, Nimisha Chaturvedi, Matthew Lueder

License: GPL (>= 2)

Uses: Rcpp, survival
Reverse depends: DIFtree, lmmlasso, multiPIM, pensim, structree, subtype
Reverse suggests: caret, confSAM, fscaret, Grace, lda, mlr, MWLasso, ordinalNet, peperr, riskRegression

Released 4 months ago.


24 previous versions

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