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) .


Reference manual

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install.packages("FAS")

1.0.0 by Jonas Striaukas, 3 years ago


Browse source code at https://github.com/cran/FAS


Authors: Jonas Striaukas [cre, aut] , Jad Beyhum [aut]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports stats, graphics, methods

Depends on pracma, Matrix


See at CRAN