EAlasso: Simulation Based Inference of Lasso Estimator

Simulation based inference of lasso estimator. It provides several methods to sample lasso estimator: (a) Gaussian and wild multiplier bootstrap for lasso, group lasso, scaled lasso and scaled group lasso, (b) importance sampler for lasso, group lasso, scaled lasso and scaled group lasso, (c) Markov chain Monte Carlo sampler for lasso, (d) post-selection inference for lasso. See Zhou, Q. and Min, S. (2017) <doi:10.1214/17-EJS1309> for details.

install.packages("EAlasso")

Try the EAlasso package in your browser