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MultiVarSel: Variable Selection in a Multivariate Linear Model
It performs variable selection in a multivariate linear model by estimating the covariance matrix of the residuals then use it to remove the dependence that may exist among the responses and eventually performs variable selection by using the Lasso criterion. The method is described in the paper Perrot-Dockès et al. (2017) <arXiv:1704.00076>.
Getting started
Browse package contents
Package details |
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| Author | Marie Perrot-Dockès, Céline Lévy-Leduc, Julien Chiquet |
| Maintainer | Marie Perrot-Dockès <marie.perrocks@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.1.3 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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