LINselect: R package Estimate the mean of a Gaussian vector, by choosing among a large collection of estimators

LINselect LINselect is a R package for estimator selection.

What is LINselect?

The LINselect R package allows to estimate the mean of a Gaussian vector, by choosing among a large collection of estimators. In particular it solves the problem of variable selection by choosing the best predictor among predictors emanating from different methods as lasso, elastic-net, adaptive lasso, pls, randomForest. Moreover, it can be applied for choosing the tuning parameter in a Gauss-lasso procedure.

References

S. Arlot and A. Celisse. A survey of cross-validation procedures for model selection. Stat. Surv., 4:40–79, 2010.
Y. Baraud, C. Giraud, and S. Huet. Estimator selection in the gaussian setting, 2010. arXiv:1007.2096v2. DOI
C. Giraud, S. Huet, and N. Verzelen. High-dimensional regression with unknown variance. Statist. Sci., 27(4):500–518, 2012. DOI

Licence
LINselect is an open source, freely available software released under the GPL Licence.

Requirements
R system.

Documentation
A reference guide and a vignette with examples of use are provided in the directory doc of the package.

Download
Download the last version here (uncompress the file before installation, if needed) or from the CRAN site.