FAS: Factor-Augmented Sparse Regression Tuning-Free Testing

The 'FAS' package implements the bootstrap method for the tuning parameter selection and tuning-free inference on sparse regression coefficient vectors. Currently, the test could be applied to linear and factor-augmented sparse regressions, see Lederer & Vogt (2021, JMLR) <https://www.jmlr.org/papers/volume22/20-539/20-539.pdf> and Beyhum & Striaukas (2023) <doi:10.48550/arXiv.2307.13364>.

Version: 1.0.0
Depends: pracma, Matrix, R (≥ 3.5.0)
Imports: stats, graphics, methods
Published: 2024-01-10
Author: Jonas Striaukas [cre, aut], Jad Beyhum [aut]
Maintainer: Jonas Striaukas <jonas.striaukas at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: FAS results

Documentation:

Reference manual: FAS.pdf

Downloads:

Package source: FAS_1.0.0.tar.gz
Windows binaries: r-prerel: FAS_1.0.0.zip, r-release: FAS_1.0.0.zip, r-oldrel: FAS_1.0.0.zip
macOS binaries: r-prerel (arm64): FAS_1.0.0.tgz, r-release (arm64): FAS_1.0.0.tgz, r-oldrel (arm64): FAS_1.0.0.tgz, r-prerel (x86_64): FAS_1.0.0.tgz, r-release (x86_64): FAS_1.0.0.tgz

Linking:

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