scalreg-package: Scaled sparse linear regression

In scalreg: Scaled Sparse Linear Regression

Description

This package fits scaled sparse linear regression with l_1 penalty. The algorithm jointly estimates the regression coefficients and the noise level in linear regression problem. In addition, the package estimates inverse covariance matrices (precision matrices) via a scale-invariant method.

Details

Package:	scalreg
Type:	Package
Version:	1.0
Date:	2013-12-16
License:	GPL-2

Author(s)

Tingni Sun <[e-mail]>

References

Sun, T. and Zhang, C.-H. (2012) Scaled sparse linear regression. Biometrika, 99 (4), 879-898.

Sun, T. and Zhang, C.-H. (2013) Sparse matrix inversion with scaled Lasso. Journal of Machine Learning Research, 14, 3385-3418.

See Also

scalreg

Examples

## See examples in scalreg

Example output

Loading required package: lars
Loaded lars 1.2

Loading required package: MASS

scalreg documentation built on May 1, 2019, 10:55 p.m.