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Regression context for the Partial Least Squares framework for Extreme values. Estimations of the Shrinkage for Extreme Partial Least-Squares (SEPaLS) estimators, an adaptation of the original Partial Least Squares (PLS) method tailored to the extreme-value framework. The SEPaLS project is a joint work by Stephane Girard, Hadrien Lorenzo and Julyan Arbel. R code to replicate the results of the paper is available at <https://github.com/hlorenzo/SEPaLS_simus>. Extremes within PLS was already studied by one of the authors, see M Bousebeta, G Enjolras, S Girard (2023) <doi:10.1016/j.jmva.2022.105101>.
| Version: | 0.1.0 |
| Depends: | R (≥ 3.5.0) |
| Published: | 2023-10-24 |
| DOI: | 10.32614/CRAN.package.SEPaLS |
| Author: | Stephane Girard [aut], Julyan Arbel [aut], Hadrien Lorenzo [aut, cre, cph] |
| Maintainer: | Hadrien Lorenzo <hadrien.lorenzo at univ-amu.fr> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | SEPaLS results |
| Reference manual: | SEPaLS.pdf |
| Package source: | SEPaLS_0.1.0.tar.gz |
| Windows binaries: | r-devel: SEPaLS_0.1.0.zip, r-release: SEPaLS_0.1.0.zip, r-oldrel: SEPaLS_0.1.0.zip |
| macOS binaries: | r-release (arm64): SEPaLS_0.1.0.tgz, r-oldrel (arm64): SEPaLS_0.1.0.tgz, r-release (x86_64): SEPaLS_0.1.0.tgz, r-oldrel (x86_64): SEPaLS_0.1.0.tgz |
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