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>.
Last updated 7 years ago
4.48 score 1 stars 9 scripts 184 downloadssprintr - Sparse Reluctant Interaction Modeling
An implementation of a computationally efficient method to fit large-scale interaction models based on the reluctant interaction selection principle. The method and its properties are described in greater depth in Yu, G., Bien, J., and Tibshirani, R.J. (2019) "Reluctant interaction modeling", which is available at <arXiv:1907.08414>.
Last updated 3 years ago
openblascpp
4.18 score 3 stars 7 scripts 196 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>.
Last updated 7 years ago
openblascpp
4.00 score 2 stars 10 scripts 115 downloads