spfcICOMP

MaRDI QIDQ7371945CRANFDO

Authors Kabir Opeyemi Olorede

Last update 3 September 2026

Copyright license MIT license, File License

Software version identifier 0.1.0

Description

Implements shrinkage principal fitted components for sufficient dimension reduction in high-dimensional regression and classification. Provides regularised covariance estimation using Oracle Approximating Shrinkage and Maximum Entropy Covariance, structural-dimension selection using conventional and information-complexity criteria, response-guided feature screening, reduced-space prediction, and simulation utilities. Methodological foundations include Cook and Forzani (2008) <doi:10.1214/08-STS275>, Chen et al. (2010) <doi:10.1109/TSP.2010.2053029>, Bozdogan (2000) <doi:10.1006/jmps.1999.1277>, and Olorede and Yahya (2019) <doi:10.48550/arXiv.1909.13017>.

Cites work

• Akaike's information criterion and recent developments in information complexity
• Principal fitted components for dimension reduction in regression
• Shrinkage Algorithms for MMSE Covariance Estimation

This page was built for software: spfcICOMP