Performs robust multiple testing for means in the presence of known and unknown latent factors presented in Fan et al.(2019) "FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control" <doi:10.1080/01621459.2018.1527700>. Implements a series of adaptive Huber methods combined with fast data-drive tuning schemes proposed in Ke et al.(2019) "User-Friendly Covariance Estimation for Heavy-Tailed Distributions" <doi:10.1214/19-STS711> to estimate model parameters and construct test statistics that are robust against heavy-tailed and/or asymmetric error distributions. Extensions to two-sample simultaneous mean comparison problems are also included. As by-products, this package contains functions that compute adaptive Huber mean, covariance and regression estimators that are of independent interest.
Package details |
|
---|---|
Author | Xiaoou Pan [aut, cre], Yuan Ke [aut], Wen-Xin Zhou [aut] |
Maintainer | Xiaoou Pan <xip024@ucsd.edu> |
License | GPL-3 |
Version | 2.2.0 |
URL | https://github.com/XiaoouPan/FarmTest |
Package repository | View on CRAN |
Installation |
Install the latest version of this package by entering the following in R:
|
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.