wsggong/toronto: The Lasso for High Dimensional Regression with a Possible Change Point
Run a LASSO regression for a high dimensional model with a possible change point due to a covariate threshold. It finds the lasso estimator of regression coefficients and the threshold parameter. The method and theoretical description under sparsity assumption is written in the paper linked to via the URL below.
Getting started
Browse package contents
Package details |
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| Maintainer | Woosik Gong <wsggong@gmail.com> |
| License | GPL-2 |
| Version | 0.0.2 |
| URL | https://rss.onlinelibrary.wiley.com/doi/abs/10.1111/rssb.12108 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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