MRCE: Multivariate Regression with Covariance Estimation

Compute and select tuning parameters for the MRCE estimator proposed by Rothman, Levina, and Zhu (2010) <doi:10.1198/jcgs.2010.09188>. This estimator fits the multiple output linear regression model with a sparse estimator of the error precision matrix and a sparse estimator of the regression coefficient matrix.

AuthorAdam J. Rothman
Date of publication2017-01-05 10:39:24
MaintainerAdam J. Rothman <arothman@umn.edu>
LicenseGPL-2
Version2.1

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Files in this package

MRCE
MRCE/src
MRCE/src/mrce-solveb.c
MRCE/NAMESPACE
MRCE/data
MRCE/data/stock04.rda
MRCE/R
MRCE/R/mrce.cv.R MRCE/R/rblasso.R MRCE/R/compute.fixed.R MRCE/R/compute.mrce.R MRCE/R/mrce.R
MRCE/MD5
MRCE/DESCRIPTION
MRCE/man
MRCE/man/MRCE-package.Rd MRCE/man/stock04.Rd MRCE/man/mrce.Rd

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