An R Package flare for High Dimensional Linear Regression and Precision Matrix Estimation

Abstract

This paper describes an R package named flare, which implements a family of new high dimensional regression methods (LAD Lasso, SQRT Lasso, `q Lasso, and Dantzig selector) and their extensions to sparse precision matrix estimation (TIGER and CLIME). These methods exploit different nonsmooth loss functions to gain modeling flexibility, estimation robustness… (More)

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