MRCE-package: Multivariate regression with covariance estimation

In MRCE: Multivariate Regression with Covariance Estimation

Description

Computes the MRCE estimators (Rothman, Levina, and Zhu, 2010) and has the dataset stock04 used in Rothman, Levina, and Zhu (2010), originally analyzed in Yuan et al. (2007).

Details

The primary function is mrce. The dataset is stock04.

Author(s)

Adam J. Rothman

Maintainer: Adam J. Rothman <[e-mail]>

References

Rothman, A.J., Levina, E., and Zhu, J. (2010). Sparse multivariate regression with covariance estimation. Journal of Computational and Graphical Statistics 19:974–962.

Yuan, M., Ekici, A., Lu, Z., and Monteiro, R. (2007). Dimension reduction and coefficient estimation in multivariate linear regression. Journal of the Royal Statistical Society Series B 69(3):329–346.

Jerome Friedman, Trevor Hastie, Robert Tibshirani (2008). Sparse inverse covariance estimation with the graphical lasso. Biostatistics, 9(3), 432-441.

Jerome Friedman, Trevor Hastie, Robert Tibshirani (2010). Regularization Paths for Generalized Linear Models via Coordinate Descent. Journal of Statistical Software, 33(1), 1-22.

MRCE documentation built on Jan. 5, 2022, 1:07 a.m.