MRCE: Multivariate Regression with Covariance Estimation
Version 2.1

Compute and select tuning parameters for the MRCE estimator proposed by Rothman, Levina, and Zhu (2010) . 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
Date of publication2017-01-05 10:39:24
MaintainerAdam J. Rothman <[email protected]>
Package repositoryView on CRAN
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MRCE documentation built on May 29, 2017, 11:38 p.m.