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JuliaStats / GLMNet.jl

Julia wrapper for fitting Lasso/ElasticNet GLM models using glmnet
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Multivariate normal L1 regression #65

Open BenjaminDoran opened 1 year ago

BenjaminDoran commented 1 year ago

Maybe i'm blind, but how can I fit a linear lasso model on multiple dependent variables?

There doesn't seem to be a method for 

X = rand(100, 10)
Y = rand(100, 4)
path = glmnet(X, Y,  Normal())
# or 
path = glmnet(X, Y,  MvNormal())