MRCE

Multivariate Regression with Covariance Estimation

CRAN Package

Compute and select tuning parameters for the MRCE estimator proposed by Rothman, Levina, and Zhu (2010) doi:10.1198/jcgs.2010.09188. This estimator fits the multiple output linear regression model with a sparse estimator of the error precision matrix and a sparse estimator of the regression coefficient matrix.

  • Version2.4
  • R version≥ 2.10.1
  • LicenseGPL-2
  • Needs compilation?Yes
  • Last release01/04/2022

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