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.

Install the latest version of this package by entering the following in R:
install.packages("MRCE")
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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