multiridge

Fast Cross-Validation for Multi-Penalty Ridge Regression

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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), .


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  • Depends6 packages
  • Reverse Imports2 packages