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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.
Getting started
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Package details |
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| Author | Zhigen Zhao, Qian Lin, Jun Liu |
| Maintainer | Zhigen Zhao <zhigen.zhao@gmail.com> |
| License | GPL-3 |
| Version | 0.1.1 |
| Package repository | View on CRAN |
| Installation |
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