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TFRE: A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression

Provide functions to estimate the coefficients in high-dimensional linear regressions via a tuning-free and robust approach. The method was published in Wang, L., Peng, B., Bradic, J., Li, R. and Wu, Y. (2020), "A Tuning-free Robust and Efficient Approach to High-dimensional Regression", Journal of the American Statistical Association, 115:532, 1700-1714(JASA’s discussion paper), <doi:10.1080/01621459.2020.1840989>. See also Wang, L., Peng, B., Bradic, J., Li, R. and Wu, Y. (2020), "Rejoinder to “A tuning-free robust and efficient approach to high-dimensional regression". Journal of the American Statistical Association, 115, 1726-1729, <doi:10.1080/01621459.2020.1843865>; Peng, B. and Wang, L. (2015), "An Iterative Coordinate Descent Algorithm for High-Dimensional Nonconvex Penalized Quantile Regression", Journal of Computational and Graphical Statistics, 24:3, 676-694, <doi:10.1080/10618600.2014.913516>; Clémençon, S., Colin, I., and Bellet, A. (2016), "Scaling-up empirical risk minimization: optimization of incomplete u-statistics", The Journal of Machine Learning Research, 17(1):2682–2717; Fan, J. and Li, R. (2001), "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties", Journal of the American Statistical Association, 96:456, 1348-1360, <doi:10.1198/016214501753382273>.

Version: 0.1.0
Imports: Rcpp (≥ 1.0.9), RcppParallel
LinkingTo: Rcpp, RcppEigen, RcppParallel
Published: 2024-01-31
DOI: 10.32614/CRAN.package.TFRE
Author: Yunan Wu [aut, cre, cph], Lan Wang [aut]
Maintainer: Yunan Wu <yunan.wu at utdallas.edu>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: TFRE results

Documentation:

Reference manual: TFRE.pdf

Downloads:

Package source: TFRE_0.1.0.tar.gz
Windows binaries: r-devel: TFRE_0.1.0.zip, r-release: TFRE_0.1.0.zip, r-oldrel: TFRE_0.1.0.zip
macOS binaries: r-release (arm64): TFRE_0.1.0.tgz, r-oldrel (arm64): TFRE_0.1.0.tgz, r-release (x86_64): TFRE_0.1.0.tgz, r-oldrel (x86_64): TFRE_0.1.0.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=TFRE to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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