CRAN/E | rDecode

rDecode

Descent-Based Calibrated Optimal Direct Estimation

Installation

About

Algorithms for solving a self-calibrated l1-regularized quadratic programming problem without parameter tuning. The algorithm, called DECODE, can handle high-dimensional data without cross-validation. It is found useful in high dimensional portfolio selection (see Pun (2018) ) and large precision matrix estimation and sparse linear discriminant analysis (see Pun and Hadimaja (2019) ).

Key Metrics

Version 0.1.0
R ≥ 2.10
Published 2019-12-18 1755 days ago
Needs compilation? no
License GPL-2
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Maintainer

Maintainer

Chi Seng Pun

Authors

Chi Seng Pun
Matthew Zakharia Hadimaja

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Depends

R ≥ 2.10

Imports

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