glmmPen

Fits high dimensional penalized generalized linear mixed models using the Monte Carlo Expectation Conditional Minimization (MCECM) algorithm. The purpose of the package is to perform variable selection on both the fixed and random effects simultaneously for generalized linear mixed models. The package supports fitting of Binomial, Gaussian, and Poisson data with canonical links, and supports penalization using the MCP, SCAD, or LASSO penalties. The MCECM algorithm is described in Rashid et al. (2020) doi:10.1080/01621459.2019.1671197. The techniques used in the minimization portion of the procedure (the M-step) are derived from the procedures of the 'ncvreg' package (Breheny and Huang (2011) doi:10.1214/10-AOAS388) and 'grpreg' package (Breheny and Huang (2015) doi:10.1007/s11222-013-9424-2), with appropriate modifications to account for the estimation and penalization of the random effects. The 'ncvreg' and 'grpreg' packages also describe the MCP, SCAD, and LASSO penalties.

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