Sparse Regression with Paired Covariates.
Sparse regression with paired covariates
The paired lasso is designed for situations where each covariate in one set forms a pair with a covariate in the other set (i.e., settings with a one-to-one correspondence between two covariate sets).
Installation
Install the current release from CRAN, or the latest development version from GitHub:
install.packages("palasso")
#install.packages("remotes")
remotes::install_github("rauschenberger/palasso")
Optionally, install ashr and CorShrink for the correlation shrinkage:
remotes::install_github("stephens999/ashr")
remotes::install_github("kkdey/CorShrink")
Reference
Armin Rauschenberger 
, Iuliana Ciocănea-Teodorescu , Marianne A. Jonker , Renée X. Menezes , and Mark A. van de Wiel (2020). "Sparse classification with paired covariates". Advances in Data Analysis and Classification 14:571-588. doi: 10.1007/s11634-019-00375-6.
Disclaimer
The R package palasso implements sparse regression with paired covariates (Rauschenberger et al., 2020).
Copyright © 2017 Armin Rauschenberger, Department of Epidemiology and Biostatistics, Amsterdam UMC, VU University Amsterdam, Amsterdam, The Netherlands
This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
You should have received a copy of the GNU General Public License along with this program. If not, see http://www.gnu.org/licenses/.