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penalized.pdf
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Summary

The penalized package in R is designed for penalized estimation in generalized linear models, including linear regression, logistic regression, Poisson regression, and the Cox proportional hazards model. It implements L1 (lasso) and L2 (ridge) penalties, as well as a combination of both (elastic net) and a fused lasso penalty. The package allows for standardization of covariates, unpenalized covariates, and factors. It also includes facilities for likelihood cross-validation and optimization of the tuning parameter. The main function, penalized, performs penalized estimation for fixed values of lambda1 and lambda2, and its syntax is similar to glm and coxph functions. The package provides ways to find optimal values of lambda using cross-validation, which is explained in Section 5.

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Description

The penalized package in R is designed for penalized estimation in generalized linear models, including linear regression, logistic regression, Poisson...

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  • File Format: PDF
  • File Size: 285 KB
  • Pages: 20
  • Language: EN
  • Total Downloads: 173
  • Last Updated: 6 days ago

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