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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.
Getting started
Browse package contents
Package details |
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| Author | Adam J. Rothman |
| Maintainer | Adam J. Rothman <arothman@umn.edu> |
| License | GPL-2 |
| Version | 2.4 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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