LassoSIR: Sparsed Sliced Inverse Regression via Lasso

Estimate the sufficient dimension reduction space using sparsed sliced inverse regression via Lasso (Lasso-SIR) introduced in Lin, Zhao, and Liu (2019) <doi:10.1080/01621459.2018.1520115>. The Lasso-SIR is consistent and achieve the optimal convergence rate under certain sparsity conditions for the multiple index models.

Package details

AuthorZhigen Zhao [aut, cre], Qian Lin [aut], Jun Liu [aut]
MaintainerZhigen Zhao <zhigen.zhao@gmail.com>
LicenseGPL-3
Version1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("LassoSIR")

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LassoSIR documentation built on April 3, 2025, 8:49 p.m.