PDSCE - Positive Definite Sparse Covariance Estimators
Compute and tune some positive definite and sparse covariance estimators.
Last updated 3 years ago
1.62 score 1 stars 1 dependents 14 scripts 293 downloadsMRCE - 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.
Last updated 3 years ago
1.00 score 1 stars 9 scripts 282 downloadsabundant - High-Dimensional Principal Fitted Components and Abundant Regression
Fit and predict with the high-dimensional principal fitted components model. This model is described by Cook, Forzani, and Rothman (2012) <doi:10.1214/11-AOS962>.
Last updated 3 years ago
1.00 score 3 scripts 378 downloads