xtune

Regularized Regression with Feature-Specific Penalties Integrating External Information

Last update: 18 June 2023

Copyright license: MIT license, File License

Software version identifier: 0.1.0, 2.0.0

Extends standard penalized regression (Lasso, Ridge, and Elastic-net) to allow feature-specific shrinkage based on external information with the goal of achieving a better prediction accuracy and variable selection. Examples of external information include the grouping of predictors, prior knowledge of biological importance, external p-values, function annotations, etc. The choice of multiple tuning parameters is done using an Empirical Bayes approach. A majorization-minimization algorithm is employed for implementation.

This page was built for software: xtune