MRCE: Multivariate Regression with Covariance Estimation
Compute and select tuning parameters for the MRCE estimator proposed by Rothman, Levina, and Zhu (2010) <doi:10.1198/jcgs.2010.09188>. This estimator fits the multiple output linear regression model with a sparse estimator of the error precision matrix and a sparse estimator of the regression coefficient matrix.
Version: |
2.4 |
Depends: |
R (≥ 2.10.1), glasso |
Published: |
2022-01-04 |
Author: |
Adam J. Rothman |
Maintainer: |
Adam J. Rothman <arothman at umn.edu> |
License: |
GPL-2 |
NeedsCompilation: |
yes |
CRAN checks: |
MRCE results |
Documentation:
Downloads:
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