Gamma and Exponential Generalized Linear Models with Elastic Net Penalty

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) . An implementation for the case of the exponential distribution is also available, with details available in Chen and Martin (2018) < https://papers.ssrn.com/abstract_id=3085672>.


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install.packages("RPEGLMEN")

1.0 by Anthony Christidis, 15 days ago


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


Authors: Anthony Christidis <[email protected]> , Xin Chen <[email protected]> , Daniel Hanson <[email protected]>


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp, RPEIF, PerformanceAnalytics

Suggests R.rsp, testthat

Linking to Rcpp, RcppEigen

System requirements: C++11


See at CRAN