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FAS: Factor-Augmented Sparse Regression Tuning-Free Testing
The 'FAS' package implements the bootstrap method for the tuning parameter selection and tuning-free inference on sparse regression coefficient vectors. Currently, the test could be applied to linear and factor-augmented sparse regressions, see Lederer & Vogt (2021, JMLR) <https://www.jmlr.org/papers/volume22/20-539/20-539.pdf> and Beyhum & Striaukas (2023) <arXiv:2307.13364>.
Getting started
Browse package contents
Package details |
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| Author | Jonas Striaukas [cre, aut], Jad Beyhum [aut] |
| Maintainer | Jonas Striaukas <jonas.striaukas@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.0.0 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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