penalized swMATH ID: 6071 Software Authors: Meijer, Rosa J.; Goeman, Jelle J. Description: R package penalized: Efficient approximate k-fold and leave-one-out cross-validation for ridge regression. In model building and model evaluation, cross-validation is a frequently used resampling method. Unfortunately, this method can be quite time consuming. In this article, we discuss an approximation method that is much faster and can be used in generalized linear models and Cox’ proportional hazards model with a ridge penalty term. Our approximation method is based on a Taylor expansion around the estimate of the full model. In this way, all cross-validated estimates are approximated without refitting the model. The tuning parameter can now be chosen based on these approximations and can be optimized in less time. The method is most accurate when approximating leave-one-out cross-validation results for large data sets which is originally the most computationally demanding situation. In order to demonstrate the method’s performance, it will be applied to several microarray data sets. An R package penalized, which implements the method, is available on CRAN. Homepage: http://cran.r-project.org/web/packages/penalized/ Source Code: https://github.com/cran/penalized Dependencies: R (≥ 2.10.0), methods, survival Keywords: approximation method; cross-validation; matrix inversion lemma; ridge regression; survival analysis Related Software: R; glmnet; SAS; glmpath; CRAN; randomForest; lars; mgcv; survival; RcppArmadillo; Rcpp; e1071; UCI-ml; bnlearn; pi-MASS; ridge; SparseLOGREG; polspline; rms; Stata Cited in: 22 Documents all top 5 Cited by 47 Authors 3 Goeman, Jelle J. 3 Scutari, Marco 3 Tutz, Gerhard E. 2 Benner, Axel 2 Perperoglou, Aris 2 Zucknick, Manuela 1 Adler, Werner 1 Aldahmani, Saeed 1 Balding, David Joseph 1 Cai, Wen 1 Chaturvedi, Nimisha 1 Crossa, Jose 1 de Menezes, Renée X. 1 Denis, Jean-Baptiste 1 Groll, Andreas 1 Gul, Asma 1 Hielscher, Thomas 1 Hoff, Peter D. 1 Ittrich, Carina 1 Khan, Zardad 1 Koch, Dominik 1 Lausen, Berthold 1 Lèbre, Sophie 1 Liu, Zhan 1 Mackay, Ian 1 Mahmoud, Osama H. 1 Mai, Qing 1 Mansmann, Ulrich R. 1 Meijer, Rosa J. 1 Miftahuddin, Miftahuddin 1 Monroy-Castillo, Blanca E. 1 Moore, Dirk F. 1 Nagarajan, Radhakrishnan 1 Pan, Yingli 1 Pan, Yuqing 1 Perez-Elizalde, Sergio 1 Pérez-Rodríguez, Paulino 1 Qu, Annie 1 Rauschenberger, Armin 1 Saadati, Maral 1 Schmid, Matthias 1 Tang, Xiwei 1 van Nee, Mirrelijn M. 1 Yang, Yi 1 Zhang, Xin 1 Zou, Hui 1 Zoubeidi, Taoufik all top 5 Cited in 14 Serials 5 Biometrical Journal 2 Journal of the American Statistical Association 2 Journal of Statistical Computation and Simulation 2 Statistical Methods and Applications 2 Use R! 1 Computational Statistics and Data Analysis 1 Lifetime Data Analysis 1 Statistical Applications in Genetics and Molecular Biology 1 Advances in Data Analysis and Classification. ADAC 1 Statistics and Its Interface 1 Journal of Computational and Graphical Statistics 1 Statistics and Computing 1 Springer Series in Statistics 1 Chapman & Hall/CRC Texts in Statistical Science Series Cited in 5 Fields 21 Statistics (62-XX) 4 Numerical analysis (65-XX) 4 Computer science (68-XX) 4 Biology and other natural sciences (92-XX) 1 Combinatorics (05-XX) Citations by Year