Description
L1-Penalized Multinomial Regression with Statistical Inference.
Description
We aim for fitting a multinomial regression model with Lasso penalty and doing statistical inference (calculating confidence intervals of coefficients and p-values for individual variables). It implements 1) the coordinate descent algorithm to fit an l1-penalized multinomial regression model (parameterized with a reference level); 2) the debiasing approach to obtain the inference results, which is described in Tian et al. (2023) <arXiv:2302.02310>.