MRCE

R package MRCE. Multivariate Regression with Covariance Estimation. Compute and select tuning parameters for the MRCE estimator proposed by Rothman, Levina, and Zhu (2010) <<a href=”http://dx.doi.org/10.1198/jcgs.2010.09188”>doi:10.1198/jcgs.2010.09188</a>>. This estimator fits the multiple output linear regression model with a sparse estimator of the error precision matrix and a sparse estimator of the regression coefficient matrix.

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  1. Liquet, B.; Mengersen, K.; Pettitt, A. N.; Sutton, M.: Bayesian variable selection regression of multivariate responses for group data (2017)