Quantile Universal Threshold

Thresholding based tests for null hypothesis of the form A beta =c, and the Quantile Universal Threshold (QUT) for lasso regularization of Generalized Linear Models (GLM) and square-root lasso to obtain a sparse model with a good compromise between high true positive rate and low false discovery rate. Giacobino et al. (2017) . Sardy et al. (2017) .


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Reference manual

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install.packages("qut")

2.2 by Jairo Diaz-Rodriguez, 8 months ago


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


Authors: Jairo Diaz-Rodriguez [aut, cre, cph] , Sylvain Sardy [aut, ths] , Caroline Giacobino [aut] , Nick Hengartner [aut]


Documentation:   PDF Manual  


GPL-2 license


Depends on Matrix, glmnet, lars, flare


See at CRAN