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.

Package details

AuthorAdam J. Rothman
MaintainerAdam J. Rothman <[email protected]>
Package repositoryView on CRAN
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MRCE documentation built on May 2, 2019, 9:15 a.m.