In PengSU517/robcovsel: Robust variable selection based on covariance matrix

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

#remotes::install_github("PengSU517/robcovsel")
#remotes::install_github("PengSU517/shootings") !!!!!!!!!!!!!!
#This shootings package is not my original work. The functions in this package were forked from https://github.com/ineswilms/sparse-shooting-S. I constructed a package of those functions to make them more convenient to use.
library(robcovsel)
#library(shootings)

Data generation

gen = genevar(p = 10, e = 0.1)
x = gen$x
y = gen$y

test

system.time({fit1 = covlasso(x,y,cor.method = "gaussrank",scale.method = "qn")})
fit1$betahat

PengSU517/robcovsel documentation built on Sept. 13, 2023, 1 a.m.