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FAS (version 1.0.0)

Factor-Augmented Sparse Regression Tuning-Free Testing

Description

The 'FAS' package implements the bootstrap method for the tuning parameter selection and tuning-free inference on sparse regression coefficient vectors. Currently, the test could be applied to linear and factor-augmented sparse regressions, see Lederer & Vogt (2021, JMLR) and Beyhum & Striaukas (2023) .

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Version

Install

install.packages('FAS')

Monthly Downloads

165

Version

1.0.0

License

GPL (>= 2)

Maintainer

Jonas Striaukas

Last Published

January 10th, 2024

Functions in FAS (1.0.0)

FAS-package

FAS
factorsparsetest

Test of the factor model against factor augmented sparse alternative
lassofit

Fits effective noise of LASSO regressions