RPEGLMEN

Gamma and Exponential Generalized Linear Models with Elastic Net Penalty

CRAN Package

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) doi:10.48550/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.

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