statsmodels/statsmodels — pull request #1623 by josef-pkt (2014-04-22 00:11:06+00:00)
Title: BUG Negbin fit regularized

adds fit_regularized method to NegativeBinomial
fixes #1453 and #1454

note:
code is mostly copy paste see #1615
took me a while to figure out copy/paste/adjust errors for example #1617

one issue not clear:
NegativeBinomial transforms parameters in some cases, I chose not to: `self._transparams = False`

TODO: how can I adjust the docstring?
by default if alpha is scalar, then the penalization is not applied to the extra, shape parameter alpha of nb1 and nb2

unittests follow the same pattern as the other L1 test, compare reduced unregularized estimation with regularized estimation that doesn't penalize the original parameters