RPEGLMEN

Authors Anthony Christidis, Xin Chen, Daniel Hanson

Last update 19 December 2025

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.1.2, PACKAGES.rds, 1.0.1, 1.0, 1.1.0, 1.1.1, 1.1.3, 1.1.4

Description

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>.

Cites work

Standard Errors of Risk and Performance Estimators with Serially Correlated Returns

Cited in

(1)

RPESE

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