FAS-package

Bootstrap methods for selecting the tuning parameter for LASSO-type regression models and testing sparse regression coefficients

package

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) <https://www.jmlr.org/papers/volume22/20-539/20-539.pdf> and Beyhum & Striaukas (2023) <arXiv:2307.13364>.

Jonas Striaukas

Factor-Augmented Sparse Regression Tuning-Free Testing

Jad Beyhum

FAS-package function

Jonas Striaukas (maintainer) <a href="/link/jonas.striaukas%40gmail.com?package=FAS&version=1.0.0" data-mini-rdoc="FAS::jonas.striaukas@gmail.com">jonas.striaukas@gmail.com</a>

Author

FAS — FAS-package

Jonas Striaukas (maintainer) <a href='mailto:jonas.striaukas@gmail.com'>jonas.striaukas@gmail.com</a>

FAS-package: FAS

Description

Arguments

Author