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 (2017) <arxiv:1611.06655>. The Lasso-SIR is consistent and achieve the optimal convergence rate under certain sparsity conditions for the multiple index models.

Package details

AuthorZhigen Zhao, Qian Lin, Jun Liu
MaintainerZhigen Zhao <[email protected]>
Package repositoryView on CRAN
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LassoSIR documentation built on Dec. 6, 2017, 5:03 p.m.