RPEGLMEN: 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) <arxiv:1804.07780>. 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>.

Version: 1.0
Imports: Rcpp (≥ 1.0.2), RPEIF, PerformanceAnalytics
LinkingTo: Rcpp, RcppEigen
Suggests: R.rsp, testthat
Published: 2019-09-07
Author: Anthony Christidis, Xin Chen, Daniel Hanson
Maintainer: Anthony Christidis <anthony.christidis at stat.ubc.ca>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
SystemRequirements: C++11
Materials: README NEWS
CRAN checks: RPEGLMEN results

Downloads:

Reference manual: RPEGLMEN.pdf
Vignettes: R packages:RPEGLMEN Vignette
Package source: RPEGLMEN_1.0.tar.gz
Windows binaries: r-devel: RPEGLMEN_1.0.zip, r-release: RPEGLMEN_1.0.zip, r-oldrel: RPEGLMEN_1.0.zip
OS X binaries: r-release: RPEGLMEN_1.0.tgz, r-oldrel: RPEGLMEN_1.0.tgz

Reverse dependencies:

Reverse imports: RPESE

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