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>.

Package details

AuthorMarie Perrot-Dockès, Céline Lévy-Leduc, Julien Chiquet
MaintainerMarie Perrot-Dockès <[email protected]>
LicenseGPL (>= 2)
Version1.1.3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("MultiVarSel")

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MultiVarSel documentation built on May 2, 2019, 7:58 a.m.