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SEPaLS

Shrinkage for Extreme Partial Least-Squares (SEPaLS)

Regression context for the Partial Least Squares framework for Extreme values. Estimations of the Shrinkage for Extreme Partial Least-Squares (SEPaLS) estimators, an adaptation of the original Partial Least Squares (PLS) method tailored to the extreme-value framework. The SEPaLS project is a joint work by Stephane Girard, Hadrien Lorenzo and Julyan Arbel. R code to replicate the results of the paper is available at <https://github.com/hlorenzo/SEPaLS_simus>. Extremes within PLS was already studied by one of the authors, see M Bousebeta, G Enjolras, S Girard (2023) <doi:10.1016/j.jmva.2022.105101>.

Versions across snapshots

VersionRepositoryFileSize
0.1.0 rolling linux/jammy R-4.5 SEPaLS_0.1.0.tar.gz 293.7 KiB
0.1.0 rolling linux/noble R-4.5 SEPaLS_0.1.0.tar.gz 293.7 KiB
0.1.0 rolling source/ R- SEPaLS_0.1.0.tar.gz 282.1 KiB
0.1.0 latest linux/jammy R-4.5 SEPaLS_0.1.0.tar.gz 293.7 KiB
0.1.0 latest linux/noble R-4.5 SEPaLS_0.1.0.tar.gz 293.7 KiB
0.1.0 latest source/ R- SEPaLS_0.1.0.tar.gz 282.1 KiB
0.1.0 2026-04-26 source/ R- SEPaLS_0.1.0.tar.gz 282.1 KiB
0.1.0 2026-04-23 source/ R- SEPaLS_0.1.0.tar.gz 282.1 KiB
0.1.0 2026-04-09 windows/windows R-4.5 SEPaLS_0.1.0.zip 296.7 KiB
0.1.0 2025-04-20 source/ R- SEPaLS_0.1.0.tar.gz 282.1 KiB