Package: rDecode
Type: Package
Title: Descent-Based Calibrated Optimal Direct Estimation
Version: 0.1.0
Author: Chi Seng Pun, Matthew Zakharia Hadimaja
Maintainer: Chi Seng Pun <cspun@ntu.edu.sg>
Description: Algorithms for solving a self-calibrated l1-regularized quadratic programming problem without parameter tuning. The algorithm, called DECODE, can handle high-dimensional data without cross-validation. It is found useful in high dimensional portfolio selection (see Pun (2018) <https://ssrn.com/abstract=3179569>) and large precision matrix estimation and sparse linear discriminant analysis (see Pun and Hadimaja (2019) <https://ssrn.com/abstract=3422590>).
License: GPL-2
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.0.0
Depends: R (>= 2.10)
Imports: stats
NeedsCompilation: no
Packaged: 2019-12-13 15:54:26 UTC; cspun
Repository: CRAN
Date/Publication: 2019-12-18 14:20:05 UTC
Built: R 4.6.0; ; 2026-04-25 21:40:27 UTC; unix
