Dear all,
I want to do a multivariate regression. So I have Y which is a matrix and
one vector x which is my predictor variable. I want to do a multivariate
regression with penalizing the coefficients I get. Something like: $||y-xb||
+ \lambda b^t P b $ But I have a "own" penalty term which I want to use for
penalized regression.
When I searched for penalized regression, I found a lot of packages but all
of them have predefined penalties like lasso, ridge or second differences.
I used the gam() package in mgcv when I had an univariate response:
gam(Y~x_1, paraPen = penaltymatrix)
but this package do not support multivariate regression.
Is there any R package where I can use an individual penalty matrix to my
coefficients? Or can you give me any advice how I solve the problem I have?
Kind regards,
Dominik
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