HighDimMixedModels.jl

HighDimMixedModels.jl is a package for fitting regularized linear mixed-effect models to high dimensional, clustered data. It is a Julia implementation of the estimation approach in

Schelldorfer, J., Bühlmann, P., & DE GEER, S. V. (2011). Estimation for high‐dimensional linear mixed‐effects models using ℓ1‐penalization. Scandinavian Journal of Statistics, 38(2), 197-214.

Two options for penalties are provided, the original LASSO and the smoothly clipped absolute deviation (SCAD) penalty described in

Ghosh, A., & Thoresen, M. (2018). Non-concave penalization in linear mixed-effect models and regularized selection of fixed effects. AStA Advances in Statistical Analysis, 102, 179-210.