Re: [R] Package for penalized multivariate Regression

I should have added: for multivariate gam models see e.g. ?mvn Bert Gunter On Mon, Apr 29, 2019 at 7:51 AM Bert Gunter wrote: > "but this package do not support multivariate regression." > Wrong. > > "Fits a generalized additive model (GAM) to data, the term ‘GAM’ being > taken to include any

Re: [R] Package for penalized multivariate Regression

"but this package do not support multivariate regression." Wrong. "Fits a generalized additive model (GAM) to data, the term ‘GAM’ being taken to include any quadratically penalized GLM and a variety of other models estimated by a quadratically penalised likelihood type approach (see family.mgcv <

[R] Package for penalized multivariate Regression

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