penalized (0.9-40)
L1 (lasso and fused lasso) and L2 (ridge) penalized estimation in GLMs and in the Cox model.
http://www.msbi.nl/goeman
http://cran.r-project.org/web/packages/penalized
A package for fitting possibly high dimensional penalized regression models. The penalty structure can be any combination of an L1 penalty (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 <j.j.goeman@lumc.nl>, Rosa Meijer, Nimisha Chaturvedi
License: GPL (>= 2)
Uses: survival, survival
Reverse depends: lmmlasso, multiPIM, pensim, subtype
Reverse suggests: caret, fscaret, lda, peperr
Released 12 months ago.
