parcor: regularized estimation of partial correlation matrices. R Package. The package estimates the matrix of partial correlations based on different regularized regression methods: lasso, adaptive lasso, PLS, and Ridge Regression. In addition, the package provides model selection for lasso, adaptive lasso and Ridge regression based on cross-validation.
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References in zbMATH (referenced in 1 article )
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- Fallahpour, Saber; Ejaz Ahmed, S.: Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors (2014)