High-dimensional Statistical Models

  • eclust    [Doc]    [Paper]    
    An algorithm for clustering high dimensional data that can be affected by an environmental factor.

  • fastcox    [Doc]    [Paper]    
    Lasso and elastic-net penalized Cox's regression in high dimensions models using the cocktail algorithm.

  • gcdnet    [Doc]    [Paper]    
    Lasso and (adaptive) elastic-net penalized least squares, logistic regression, HHSVM and squared hinge loss SVM using a fast GCD algorithm.

  • gglasso    [Doc]    [Paper]    
    Group lasso penalized learning using a unified BMD algorithm.

  • glmvsd    [Doc]    [Paper]    
    Variable selection deviation measures and instability tests for high-dimensional generalized linear models.

  • msda    [Doc]    [Paper]    
    Multi-Class Sparse Discriminant Analysis.

  • SOIL    [Doc]    [Paper]    
    Sparsity Oriented Importance Learning.

Tweedie Models (Insurance Pricing)

  • HDtweedie    [Doc]    [Paper]    
    The lasso for the Tweedie's compound poisson model using an IRLS-BMD algorithm.

  • TDboost    [Doc]    [Paper]    
    A boosted Tweedie compound Poisson model for insurance premium.

Expectile Regression (Risk Management)

  • erboost    [Doc]    [Paper]    
    Nonparametric multiple expectile regression via ER-Boost.

  • KERE    [Doc]    [Paper]    
    Expectile regression in reproducing kernel Hilbert space.

Envelope Models (Multivariate Regression)

  • envlp    [Doc]    [Paper]
    A MATLAB toolbox for computing envelope estimators in multivariate linear regression.