Ordinal multivariate regression with regularization (Lasso and elastic net)

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Martin Ebert
Martin Ebert 2014-8-12
I'm looking to do a regression of 80 independent variables (continuous values, though many highly correlated) against 750 responses which are ordinal (1,2,3,4). The lassoglm function will perform a linear model regression with regularization for a binomial outcome but not a multinomial one. mnrfit will do the multinomial (ordinal) regression but without the regularization. Does anyone know how I can use regularization with the multinomial regression?
And a related question, does anyone know how to obtain p-values for optimal predictor coefficients with lasso regularization?
Many thanks in advance.

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