Dear all,
I am looking for a package that takes the likelihood function and use the L1
penalty for MLE. More specifically I would like to fit the Hawke process model
using the function likelihoodHawkes() in package "hawkes"
https://cran.r-project.org/web/packages/hawkes/hawkes.pdf. Had a look at lasso
packages at CRAN and couldn't find a general purpose one. Although I can use
an optimizer, I guess it may be less efficient than specific ones for Lasso. I
would be grateful for suggestions on packages or on how to efficiently use a
general optimizer.
Best wishes
Jason
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