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TFRE  

A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression
View on CRAN: Click here


Download and install TFRE package within the R console
Install from CRAN:
install.packages("TFRE")

Install from Github:
library("remotes")
install_github("cran/TFRE")

Install by package version:
library("remotes")
install_version("TFRE", "0.1.0")



Attach the package and use:
library("TFRE")
Maintained by
Yunan Wu
[Scholar Profile | Author Map]
First Published: 2024-01-31
Latest Update: 2024-01-31
Description:
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>.
How to cite:
Yunan Wu (2024). TFRE: A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression. R package version 0.1.0, https://cran.r-project.org/web/packages/TFRE. Accessed 23 Feb. 2025.
Previous versions and publish date:
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Complete documentation for TFRE
Functions, R codes and Examples using the TFRE R package
Full TFRE package functions and examples
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