SEPaLS: Shrinkage for Extreme Partial Least-Squares (SEPaLS)
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 |
| 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 |
Documentation:
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