qut: Quantile Universal Threshold

Thresholding based tests for null hypothesis of the form A beta =c, and the Quantile Universal Threshold (QUT) for lasso regularization of Generalized Linear Models (GLM) and square-root lasso to obtain a sparse model with a good compromise between high true positive rate and low false discovery rate. Giacobino et al. (2017) <doi:10.1214/17-EJS1366>. Sardy et al. (2017) <arXiv:1708.02908>.

Package details

AuthorJairo Diaz-Rodriguez [aut, cre, cph], Sylvain Sardy [aut, ths], Caroline Giacobino [aut], Nick Hengartner [aut]
MaintainerJairo Diaz-Rodriguez <adjairo@uninorte.edu.co>
Package repositoryView on CRAN
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qut documentation built on Jan. 19, 2021, 5:09 p.m.