scalreg (version 1.0)

scalreg-package: Scaled sparse linear regression

Description

This package fits scaled sparse linear regression with l_1 penalty. The algorithm jointly estimates the regression coefficients and the noise level in linear regression problem. In addition, the package estimates inverse covariance matrices (precision matrices) via a scale-invariant method.

Details

Package:	scalreg
Type:	Package
Version:	1.0
Date:	2013-12-16
License:	GPL-2

References

Sun, T. and Zhang, C.-H. (2012) Scaled sparse linear regression. Biometrika, 99 (4), 879-898.

Sun, T. and Zhang, C.-H. (2013) Sparse matrix inversion with scaled Lasso. Journal of Machine Learning Research, 14, 3385-3418.

See Also

scalreg

Examples

# NOT RUN {
## See examples in scalreg
# }