statsmodels/statsmodels — pull request #1674 by kshedden (2014-05-19 06:13:23+00:00)
Title: ENH: fit_regularized for linear models

This is an implementation of fit_regularized using coordinate descent. It allows "elastic net" regularization for OLS and GLS. This includes the Lasso and ridge regression as special cases.

The tests include a number of comparisons to glmnet in R, the agreement is good. Speed seems OK but I haven't done any timings.

Following recent discussions, I would like to rename 'alpha' to something more informative. pen_wt or pen_wgt is my preference. Whatever we choose needs to be done uniformly for all the existing fit_regularized implementations in order for solution_path to work. If we can reach agreement I will put this into a separate PR.

The approach used here can also give us a fit_regularized for all GLMs and for the Cox proportional hazards model. I'll get to this hopefully later in the summer.