glmnetSE - Add Nonparametric Bootstrap SE to 'glmnet' for Selected
Coefficients (No Shrinkage)
Builds a LASSO, Ridge, or Elastic Net model with 'glmnet'
or 'cv.glmnet' with bootstrap inference statistics (SE, CI, and
p-value) for selected coefficients with no shrinkage applied
for them. Model performance can be evaluated on test data and
an automated alpha selection is implemented for Elastic Net.
Parallelized computation is used to speed up the process. The
methods are described in Friedman et al. (2010)
<doi:10.18637/jss.v033.i01> and Simon et al. (2011)
<doi:10.18637/jss.v039.i05>.
