MultiVarSel

Variable Selection in a Multivariate Linear Model

CRAN Package

It performs variable selection in a multivariate linear model by estimating the covariance matrix of the residuals then use it to remove the dependence that may exist among the responses and eventually performs variable selection by using the Lasso criterion. The method is described in the paper Perrot-Dockès et al. (2017) .


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  • Depends2 packages
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