Fast Cross-Validation for Multi-Penalty Ridge Regression

Multi-penalty linear, logistic and cox ridge regression, including estimation of the penalty parameters by efficient (repeated) cross-validation and marginal likelihood maximization. Multiple high-dimensional data types that require penalization are allowed, as well as unpenalized variables. Paired and preferential data types can be specified. See Van de Wiel et al. (2021), .

multiridge

R package for multi-penalty ridge regression

library(devtools); install_github("markvdwiel/multiridge")

Demo script and data available from: https://drive.google.com/open?id=1NUfeOtN8-KZ8A2HZzveG506nBwgW64e4