Multivariate Regression with Covariance Estimation

Compute and select tuning parameters for the MRCE estimator proposed by Rothman, Levina, and Zhu (2010) . This estimator fits the multiple output linear regression model with a sparse estimator of the error precision matrix and a sparse estimator of the regression coefficient matrix.


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install.packages("MRCE")

2.1 by Adam J. Rothman, 2 years ago


Browse source code at https://github.com/cran/MRCE


Authors: Adam J. Rothman


Documentation:   PDF Manual  


GPL-2 license


Depends on QUIC


See at CRAN