cxreg: Complex-Valued Lasso and Complex-Valued Graphical Lasso
Implements 'glmnet'-style complex-valued lasso (CLASSO) and
complex-valued graphical lasso (CGLASSO) via a pathwise coordinate
descent algorithm for complex-valued parameters, using an isomorphism
between complex numbers and 2x2 orthogonal matrices. Also provides a
full inference pipeline for high-dimensional sparse spectral precision
matrices, including data-driven bandwidth selection, one-step
debiasing, asymptotic variance estimation, entry-wise confidence
regions, and FDR-controlled hypothesis testing. Supporting tools for
cross-validation, simulation, coefficient extraction, and plotting are
included. See Deb, Kuceyeski, and Basu (2024)
<doi:10.48550/arXiv.2401.11128> and Deb, Kim, and Basu (2026)
<doi:10.48550/arXiv.2606.07986>.
| Version: |
1.1.2 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
fields, foreach, gdata, grDevices, Matrix, methods, mvtnorm, stats, utils |
| Suggests: |
devtools, doParallel, knitr, rmarkdown, testthat (≥ 3.0.0), tinytex, tools, xfun |
| Published: |
2026-07-05 |
| DOI: |
10.32614/CRAN.package.cxreg |
| Author: |
Younghoon Kim [aut, cre],
Navonil Deb [aut],
Sumanta Basu [aut] |
| Maintainer: |
Younghoon Kim <ykim124 at ua.edu> |
| License: |
MIT + file LICENSE |
| NeedsCompilation: |
yes |
| Materials: |
README, NEWS |
| CRAN checks: |
cxreg results |
Documentation:
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