mboost

Functional gradient descent algorithm (boosting) for optimizing general risk functions utilizing component-wise (penalised) least squares estimates or regression trees as base-learners for fitting generalized linear, additive and interaction models to potentially high-dimensional data. Models and algorithms are described in doi:10.1214/07-STS242, a hands-on tutorial is available from doi:10.1007/s00180-012-0382-5. The package allows user-specified loss functions and base-learners.

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