An R package for nonparametric covariance matrix estimation in high dimensions

High-dimensional statistics with R

Code Repo for "Regularized estimation of high-dimensional FAVAR models", JMLR, 2020

Bayesian survival models for high-dimensional data

Thresholded Sparse CCA for Multiple Measurements

Simulation for "Method-of-Moments Inference for GLMs and Doubly Robust Functionals under Proportional Asymptotics"

Code Repo for "Penalized MLE of multi-layer Gaussian Graphical Models", JMLR, 2016

Thresholded Ordered Sparse CCA

Fast and flexible models for extremal events.

Structure-Adaptive Elastic Net method for high-dimensional regression with external structural information

High-dimensional Mediation Testing For Highly Correlated Mediators

Covariate-varying Networks