BlockCov - Estimation of Large Block Covariance Matrices
Computation of large covariance matrices having a block structure up to a permutation of their columns and rows from a small number of samples with respect to the dimension of the matrix. The method is described in the paper Perrot-Dockès et al. (2019) <arXiv:1806.10093>.
Last updated 6 years ago
2.00 score 6 scripts 239 downloadsMultiVarSel - Variable Selection in a Multivariate Linear Model
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) <arXiv:1704.00076>.
Last updated 6 years ago
2.00 score 8 scripts 215 downloads