glmnetSE

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.