LINselect

swMATH19706CRANLINselectMaRDI QIDQ31531FDOQ31531

Selection of Linear Estimators

Yannick Baraud

Last update: 7 December 2023

Copyright license: GNU General Public License

Software version identifier: 1.1.3, 0.0-1, 0.0-2, 1.1.1, 1.1.2, 1.1.4, 1.1, 1.1.5

Source code repository: https://github.com/cran/LINselect

Description

Estimate the mean of a Gaussian vector, by choosing among a large collection of estimators, following the method developed by Y. Baraud, C. Giraud and S. Huet (2014) <doi:10.1214/13-AIHP539>. In particular it solves the problem of variable selection by choosing the best predictor among predictors emanating from different methods as lasso, elastic-net, adaptive lasso, pls, randomForest. Moreover, it can be applied for choosing the tuning parameter in a Gauss-lasso procedure.

Cites work

• Estimator selection in the Gaussian setting

Cited In (1)

• PhylogeneticEM

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