rDecode
Descent-Based Calibrated Optimal Direct Estimation
Algorithms for solving a self-calibrated l1-regularized quadratic programming problem without parameter tuning. The algorithm, called DECODE, can handle high-dimensional data without cross-validation. It is found useful in high dimensional portfolio selection (see Pun (2018) <https://ssrn.com/abstract=3179569>) and large precision matrix estimation and sparse linear discriminant analysis (see Pun and Hadimaja (2019) <https://ssrn.com/abstract=3422590>).
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling linux/jammy R-4.5 | rDecode_0.1.0.tar.gz |
611.0 KiB |
0.1.0 |
rolling linux/noble R-4.5 | rDecode_0.1.0.tar.gz |
610.8 KiB |
0.1.0 |
rolling source/ R- | rDecode_0.1.0.tar.gz |
418.1 KiB |
0.1.0 |
latest linux/jammy R-4.5 | rDecode_0.1.0.tar.gz |
611.0 KiB |
0.1.0 |
latest linux/noble R-4.5 | rDecode_0.1.0.tar.gz |
610.8 KiB |
0.1.0 |
latest source/ R- | rDecode_0.1.0.tar.gz |
418.1 KiB |
0.1.0 |
2026-04-26 source/ R- | rDecode_0.1.0.tar.gz |
418.1 KiB |
0.1.0 |
2026-04-23 source/ R- | rDecode_0.1.0.tar.gz |
418.1 KiB |
0.1.0 |
2026-04-09 windows/windows R-4.5 | rDecode_0.1.0.zip |
613.8 KiB |
0.1.0 |
2025-04-20 source/ R- | rDecode_0.1.0.tar.gz |
418.1 KiB |