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 <[email protected]> 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 quadratically penalized GLM and a variety of other > models estimated by a quadratically penalised likelihood type approach (see > family.mgcv <http://127.0.0.1:24757/help/library/mgcv/help/family.mgcv>). > " > > So quadratic penalties only. > > Also: This list is about R programming. Questions about statistical > methodology are generally off topic. Try stats.stackexchange.com instead > for that. > > Bert Gunter > > "The trouble with having an open mind is that people keep coming along and > sticking things into it." > -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) > > > On Mon, Apr 29, 2019 at 5:07 AM Dominik Schmidt < > [email protected]> wrote: > >> 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 >> >> [[alternative HTML version deleted]] >> >> ______________________________________________ >> [email protected] mailing list -- To UNSUBSCRIBE and more, see >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide >> http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. >> > [[alternative HTML version deleted]] ______________________________________________ [email protected] mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
