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gofar (version 0.1)

Generalized Co-Sparse Factor Regression

Description

Divide and conquer approach for estimating low-rank and sparse coefficient matrix in the generalized co-sparse factor regression. Please refer the manuscript 'Mishra, Aditya, Dipak K. Dey, Yong Chen, and Kun Chen. Generalized co-sparse factor regression. Computational Statistics & Data Analysis 157 (2021): 107127' for more details.

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Install

install.packages('gofar')

Monthly Downloads

184

Version

0.1

License

GPL (>= 3.0)

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Repository

https://github.com/amishra-stats/gofar

Homepage

https://www.sciencedirect.com/science/article/pii/S0167947320302188

Maintainer

Aditya Mishra

Last Published

March 2nd, 2022

Functions in gofar (0.1)

Simulate data for GOFAR

Generalize Exclusive factor extraction via co-sparse unit-rank estimation (GOFAR(P)) using k-fold crossvalidation

Generalize Sequential factor extraction via co-sparse unit-rank estimation (GOFAR(S)) using k-fold crossvalidation

Control parameters for the estimation procedure of GOFAR(S) and GOFAR(P)

Simulated data for GOFAR