bingx1990/STRS: Self-tuning rank selection in multivariate response regression
An implementation of the Self-tuning Rank Selection procedure. The procedure iteratively adapts the penalty term to the optimal signal-to- noise ratio in a fully data-driven way. The original setting is the multiv- ariate regression with reduced-rank coefficient matrix, but can be adapted to the rank selection in factor model.
Getting started
Browse package contents
Package details |
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| Maintainer | The package maintainer <xb43@cornell.edu> |
| License | MIT + file LICENSE |
| Version | 0.1.0 |
| URL | https://github.com/bingx1990/STRS.git https://projecteuclid.org/journals/annals-of-statistics/volume-47/issue-6/Adaptive-estimation-of-the-rank-of-the-coefficient-matrix-in/10.1214/18-AOS1774.full |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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