RPEGLMEN (Q79056)
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Gamma and Exponential Generalized Linear Models with Elastic Net Penalty
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | RPEGLMEN |
Gamma and Exponential Generalized Linear Models with Elastic Net Penalty |
Statements
expanded from: GPL (≥ 2) (English)
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19 December 2025
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Implements the fast iterative shrinkage-thresholding algorithm (FISTA) algorithm to fit a Gamma distribution with an elastic net penalty as described in Chen, Arakvin and Martin (2018) <doi:10.48550/arXiv.1804.07780>. An implementation for the case of the exponential distribution is also available, with details available in Chen and Martin (2018) <doi:10.2139/ssrn.3085672>.
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Daniel Hanson
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