Package: MRCE 2.4

MRCE: Multivariate Regression with Covariance Estimation

Compute and select tuning parameters for the MRCE estimator proposed by Rothman, Levina, and Zhu (2010) <doi:10.1198/jcgs.2010.09188>. This estimator fits the multiple output linear regression model with a sparse estimator of the error precision matrix and a sparse estimator of the regression coefficient matrix.

Authors:Adam J. Rothman

MRCE_2.4.tar.gz
MRCE_2.4.zip(r-4.5)MRCE_2.4.zip(r-4.4)MRCE_2.4.zip(r-4.3)
MRCE_2.4.tgz(r-4.5-x86_64)MRCE_2.4.tgz(r-4.5-arm64)MRCE_2.4.tgz(r-4.4-x86_64)MRCE_2.4.tgz(r-4.4-arm64)MRCE_2.4.tgz(r-4.3-x86_64)MRCE_2.4.tgz(r-4.3-arm64)
MRCE_2.4.tar.gz(r-4.5-noble)MRCE_2.4.tar.gz(r-4.4-noble)
MRCE_2.4.tgz(r-4.4-emscripten)MRCE_2.4.tgz(r-4.3-emscripten)
MRCE.pdf |MRCE.html✨
MRCE/json (API)

# Install 'MRCE' in R:
install.packages('MRCE', repos = c('https://adamjrothman.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:
  • stock04 - Log-returns of 9 stocks from 2004

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 1 stars 9 scripts 282 downloads 1 mentions 1 exports 1 dependencies

Last updated 3 years agofrom:e4b25d7ef7. Checks:12 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 11 2025
R-4.5-win-x86_64OKMar 11 2025
R-4.5-mac-x86_64OKMar 11 2025
R-4.5-mac-aarch64OKMar 11 2025
R-4.5-linux-x86_64OKMar 11 2025
R-4.4-win-x86_64OKMar 11 2025
R-4.4-mac-x86_64OKMar 11 2025
R-4.4-mac-aarch64OKMar 11 2025
R-4.4-linux-x86_64OKMar 11 2025
R-4.3-win-x86_64OKMar 11 2025
R-4.3-mac-x86_64OKMar 11 2025
R-4.3-mac-aarch64OKMar 11 2025

Exports:mrce

Dependencies:glasso