Shrinkage for Extreme Partial Least-Squares (SEPaLS)

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.