Estimator augmentation methods for statistical inference on high-dimensional data, as described in Zhou, Q. (2014) <arXiv:1401.4425v2> and Zhou, Q. and Min, S. (2017) <doi:10.1214/17-EJS1309>. It provides several simulation-based inference methods: (a) Gaussian and wild multiplier bootstrap for lasso, group lasso, scaled lasso, scaled group lasso and their de-biased estimators, (b) importance sampler for approximating p-values in these methods, (c) Markov chain Monte Carlo lasso sampler with applications in post-selection inference.
Package details |
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Maintainer | Seunghyun Min <seunghyun@ucla.edu> |
License | GPL (>=2) |
Version | 0.2.5 |
Package repository | View on GitHub |
Installation |
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