parcor

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 2 articles )

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  1. Martin, Ryan; Tang, Yiqi: Empirical priors for prediction in sparse high-dimensional linear regression (2020)
  2. Fallahpour, Saber; Ejaz Ahmed, S.: Shrinkage estimation and variable selection in multiple regression models with random coefficient autoregressive errors (2014)