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.

Package details

AuthorSeunghyun Min [aut, cre]
MaintainerSeunghyun Min <[email protected]>
LicenseGPL (>= 2)
Version0.1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("EAlasso")

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EAlasso documentation built on Sept. 1, 2017, 9:03 a.m.