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:

Reference manual: SEPaLS.pdf

Downloads:

Package source: SEPaLS_0.1.0.tar.gz
Windows binaries: r-devel: SEPaLS_0.1.0.zip, r-release: SEPaLS_0.1.0.zip, r-oldrel: SEPaLS_0.1.0.zip
macOS binaries: r-release (arm64): SEPaLS_0.1.0.tgz, r-oldrel (arm64): SEPaLS_0.1.0.tgz, r-release (x86_64): SEPaLS_0.1.0.tgz

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