CRAN/E | SEPaLS

SEPaLS

Shrinkage for Extreme Partial Least-Squares (SEPaLS)

Installation

About

Regression context for the Partial Least Squares framework for Extreme values. Estimations of the Shrinkage for Extreme Partial Least-Squares (SEPaLS) estimators, an adaptation of the original Partial Least Squares (PLS) method tailored to the extreme-value framework. The SEPaLS project is a joint work by Stephane Girard, Hadrien Lorenzo and Julyan Arbel. R code to replicate the results of the paper is available at . Extremes within PLS was already studied by one of the authors, see M Bousebeta, G Enjolras, S Girard (2023) doi:10.1016/j.jmva.2022.105101.

Key Metrics

Version 0.1.0
R ≥ 3.5.0
Published 2023-10-24 237 days ago
Needs compilation? no
License MIT
License File
CRAN checks SEPaLS results

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Maintainer

Maintainer

Hadrien Lorenzo

Authors

Stephane Girard

aut

Julyan Arbel

aut

Hadrien Lorenzo

aut / cre / cph

Material

README
Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-develnot available

x86_64

r-releasenot available

x86_64

r-oldrelnot available

x86_64

Depends

R ≥ 3.5.0