Multivariate Sparse Group Lasso for the Multivariate Multiple Linear Regression with an Arbitrary Group Structure

For fitting multivariate response and multiple predictor linear regressions with an arbitrary group structure assigned on the regression coefficient matrix, using the multivariate sparse group lasso and the mixed coordinate descent algorithm.


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install.packages("MSGLasso")

2.1 by Yanming Li, 4 years ago


Browse source code at https://github.com/cran/MSGLasso


Authors: Yanming Li <[email protected]> , Bin Nan <bna[email protected]> , Ji Zhu <[email protected]>


Documentation:   PDF Manual  


GPL (>= 2) license



See at CRAN