Feature request: Regularized regression connectome

[mckenziephagen]

Your idea

Hi! Currently, giga_connectome uses nilearn's ConnectivityMeasure, which has a couple of different options, but none of these are regularized methods. I'm working on a project currently using regularized partial correlation matrices - would this be of interest to incorporate? I have some code that could be the starting point, and can take lead on implementing this extension if so!