Regression context for the Partial Least Squares framework for
Extreme values. Estimations of the Shrinkage for Extreme Partial Least-Squares
(SEPaLS) estimators, an adaptation of the original Partial Least Squares
(PLS) method tailored to the extreme-value framework.
The SEPaLS project is a joint work by Stephane Girard, Hadrien Lorenzo and
Julyan Arbel.
R code to replicate the results of the paper is available at
< https://github.com/hlorenzo/SEPaLS_simus>.
Extremes within PLS was already studied by one of the authors, see M
Bousebeta, G Enjolras, S Girard (2023)
R package to Compute Shrinkage for Extreme Partial Least-Squares (SEPaLS) estimators, an adaptation of the original Partial Least Squares (PLS) method tailored to the extreme-value framework.
Joint work by Stéphane Girard, Hadrien Lorenzo and Julyan Arbel.
R code to replicate the results of the paper is available at https://github.com/hlorenzo/SEPaLS_simus.