Abstract
The package High-dimensional Metrics (\Rpackagehdm) is an evolving
collection of statistical methods for estimation and quantification of
uncertainty in high-dimensional approximately sparse models. It focuses on
providing semi-parametrically efficient estimators, confidence intervals, and
significance testing for low-dimensional subcomponents of the high-dimensional
parameter vector. This vignette offers a brief introduction and a tutorial to
the implemented methods. \R and the package \Rpackagehdm are open-source
software projects and can be freely downloaded from CRAN:
http://cran.r-project.org.
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