natural - Estimating the Error Variance in a High-Dimensional Linear Model
Implementation of the two error variance estimation methods in high-dimensional linear models of Yu, Bien (2017) <arXiv:1712.02412>.
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4.59 score 1 stars 13 scripts 182 downloadsvarband - Variable Banding of Large Precision Matrices
Implementation of the variable banding procedure for modeling local dependence and estimating precision matrices that is introduced in Yu & Bien (2016) and is available at <https://arxiv.org/abs/1604.07451>.
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openblascpp
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