penalized (Q18209)
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L1 (Lasso and Fused Lasso) and L2 (Ridge) Penalized Estimation in GLMs and in the Cox Model
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | penalized |
L1 (Lasso and Fused Lasso) and L2 (Ridge) Penalized Estimation in GLMs and in the Cox Model |
Statements
expanded from: GPL (≥ 2) (English)
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2 October 2025
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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.
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Rosa Meijer
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Nimisha Chaturvedi
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Matthew Lueder
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