xtune

Regularized Regression with Feature-Specific Penalties Integrating External Information

CRAN Package

Extends standard penalized regression (Lasso, Ridge, and Elastic-net) to allow feature-specific shrinkage based on external information with the goal of achieving a better prediction accuracy and variable selection. Examples of external information include the grouping of predictors, prior knowledge of biological importance, external p-values, function annotations, etc. The choice of multiple tuning parameters is done using an Empirical Bayes approach. A majorization-minimization algorithm is employed for implementation.

  • Version2.0.0
  • R versionunknown
  • LicenseMIT
  • Needs compilation?No
  • Last release06/18/2023

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  • Imports4 packages
  • Suggests6 packages