Signal Extraction Approach for Sparse Multivariate Response Regression

Methods for regression with high-dimensional predictors and univariate or maltivariate response variables. It considers the decomposition of the coefficient matrix that leads to the best approximation to the signal part in the response given any rank, and estimates the decomposition by solving a penalized generalized eigenvalue problem followed by a least squares procedure. Ruiyan Luo and Xin Qi (2017) .


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install.packages("SiER")

0.1.0 by Ruiyan Luo, 2 years ago


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


Authors: Ruiyan , Xin Qi


Documentation:   PDF Manual  


GPL-2 license


Suggests MASS


See at CRAN