Jixian (Jason) Wang
2017-Sep-26 15:14 UTC
[R] Any package which takes the likelihood function and do Lasso fitting?
Dear all, I am looking for a package that takes the likelihood function and use the L1 penalty for MLE. More specifically I would like to fit the Hawke process model using the function likelihoodHawkes() in package "hawkes" https://cran.r-project.org/web/packages/hawkes/hawkes.pdf. Had a look at lasso packages at CRAN and couldn't find a general purpose one. Although I can use an optimizer, I guess it may be less efficient than specific ones for Lasso. I would be grateful for suggestions on packages or on how to efficiently use a general optimizer. Best wishes Jason [[alternative HTML version deleted]]
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