Package: MRCE 2.4
Adam J. Rothman
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.
Authors:
MRCE_2.4.tar.gz
MRCE_2.4.tar.gz(r-4.5-noble)MRCE_2.4.tar.gz(r-4.4-noble)
MRCE_2.4.tgz(r-4.4-emscripten)MRCE_2.4.tgz(r-4.3-emscripten)
MRCE.pdf |MRCE.html✨
MRCE/json (API)
| # Install 'MRCE' in R: |
| install.packages('MRCE', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Datasets:
- stock04 - Log-returns of 9 stocks from 2004
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 3 years agofrom:e4b25d7ef7. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 28 2024 |
| R-4.5-linux-x86_64 | OK | Nov 28 2024 |
Exports:mrce
Dependencies:glasso
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Multivariate regression with covariance estimation | MRCE-package MRCE |
| Do multivariate regression with covariance estimation (MRCE) | mrce |
| log-returns of 9 stocks from 2004 | stock04 |