MultiVarSel

Variable Selection in a Multivariate Linear Model

It performs variable selection in a multivariate linear model by estimating the covariance matrix of the residuals then use it to remove the dependence that may exist among the responses and eventually performs variable selection by using the Lasso criterion. The method is described in the paper Perrot-Dockès et al. (2017) <arXiv:1704.00076>.

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Description file content

Package
MultiVarSel
Type
Package
Title
Variable Selection in a Multivariate Linear Model
Version
1.1.3
Author
Marie Perrot-Dockès, Céline Lévy-Leduc, Julien Chiquet
Maintainer
Marie Perrot-Dockès
Description
It performs variable selection in a multivariate linear model by estimating the covariance matrix of the residuals then use it to remove the dependence that may exist among the responses and eventually performs variable selection by using the Lasso criterion. The method is described in the paper Perrot-Dockès et al. (2017) .
License
GPL (>= 2)
Encoding
UTF-8
LazyData
true
RoxygenNote
6.1.1
Depends
glmnet, Matrix (>= 1.2-11), parallel
Suggests
R.rsp
VignetteBuilder
R.rsp
NeedsCompilation
no
Packaged
2019-03-21 09:50:51 UTC; perrot-dockes
Repository
CRAN
Date/Publication
2019-03-21 10:23:33 UTC

install.packages('MultiVarSel')

1.1.3

4 days ago

Marie Perrot-Dockès

GPL (>= 2)

Depends on

glmnet, Matrix (>= 1.2-11), parallel

Suggests

R.rsp

Discussions