flare
Provides implementations of a family of Lasso variants, including Dantzig Selector, LAD Lasso, SQRT Lasso, and Lq Lasso, for estimating high-dimensional sparse linear models. We adopt the alternating direction method of multipliers and convert the original optimization problem into a sequence of L1-penalized least-squares minimization problems that are efficiently solved by linearization and multi-stage screening. In addition to sparse linear model estimation, we provide extensions of these methods to sparse Gaussian graphical model estimation, including TIGER and CLIME, using either L1 or adaptive penalties. Missing values can be tolerated for Dantzig selector and CLIME. Computation is memory-optimized using sparse matrix output. For more information, see <https://www.jmlr.org/papers/volume16/li15a/li15a.pdf>.
- An alternating direction method of multipliers for MCP-penalized regression with high-dimensional data
- Variable selection via generalized SELO-penalized linear regression models
- lars
- Single-index composite quantile regression for ultra-high-dimensional data
- sparseLDA
- FASTCLIME
- Efficient computation for differential network analysis with applications to quadratic discriminant analysis
- High-dimensional regression in practice: an empirical study of finite-sample prediction, variable selection and ranking
- Regularized estimation in sparse high-dimensional multivariate regression, with application to a DNA methylation study
- S+WAVELETS
- SRRS
- APPLE
- camel
- Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
- VIBES
- A direct estimation of high dimensional stationary vector autoregressions
- Confidence intervals for high-dimensional partially linear single-index models
- scientific article; zbMATH DE number 6378086 (Why is no real title available?)
- Joint estimation and variable selection for mean and dispersion in proper dispersion models
- sparsenet
- QICD
- picasso
- POET
- Uncertainty Quantification for Modern High-Dimensional Regression via Scalable Bayesian Methods
- qut
- scalreg
- C-HiLasso
- clime
- relaxo
- Bolasso
- rwt
- On faster convergence of cyclic block coordinate descent-type methods for strongly convex minimization
- RWT
- Sharp oracle inequalities for square root regularization
- An ADMM with continuation algorithm for non-convex SICA-penalized regression in high dimensions
- Confidence intervals for high-dimensional Cox models
- Wavelet-based LASSO in functional linear quantile regression
- A tuning-free robust and efficient approach to high-dimensional regression
- Robust Wasserstein profile inference and applications to machine learning
- Bayesian regularization for graphical models with unequal shrinkage
- DNetFinder
- PFLR
- SHT
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