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There is no implemented command to perform ridge or lasso regression? I couldn't find it in the documentation. Might be there are add-on packages I am not aware of.

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  • $\begingroup$ Related comment: mathematica.stackexchange.com/questions/22218/… $\endgroup$
    – Michael E2
    Mar 3, 2016 at 22:19
  • $\begingroup$ None as far as I can tell. They certainly could be implemented, but it will take some programming work. $\endgroup$ Mar 3, 2016 at 22:32
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    $\begingroup$ If in the next upgrade statistics is overhauled it would be a major boost for mathematica. Now it seems to be quite behind R even in major methods. $\endgroup$
    – Al Guy
    Mar 3, 2016 at 23:18
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    $\begingroup$ Have you seen RLink? $\endgroup$
    – Michael E2
    Mar 3, 2016 at 23:33
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    $\begingroup$ Jonathan Kinlay wrote a notebook that he published a few years ago on generalized regression; however, official support would be a good thing. jonathankinlay.com/Articles/Generalized%20Regression/… $\endgroup$ Mar 4, 2016 at 2:20

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