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1. SplitReg SplitReg Public

   This repository contains an R package to perform split regularized regression as defined in Christidis, Lakshmanan, Smucler and Zamar (2020) (https://doi.org/10.1080/00401706.2019.1635533).

   C++ 1 1

2. RPEIF RPEIF Public

   This repository contains an R package that computes the influence functions time series of the returns for the risk and performance measures as mentioned in Zhang et al. (2021) (https://www.scirp.o…

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3. nnGarrote nnGarrote Public

   This repository contains an R package with functions to compute the non-negative garrote estimator proposed by Breiman (1995) (https://www.jstor.org/stable/1269730). Also contains the initial estim…

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4. SplitGLM-CPP-Library SplitGLM-CPP-Library Public

   This repository contains the source files for the C++ library (with multithreading capability) to compute split GLMs using a block coordinate descent algorithm to solve the multi-convex optimizatio…

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5. PSGD-CPP-Library PSGD-CPP-Library Public

   Project Subset Gradient Descent: C++ source files implementing the projected subset gradient descent algorithm.

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6. robStepSplitReg robStepSplitReg Public

   This repository contains an R package to perform robust stepwise split regularized regression.

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