An R package for adaptive SURE thresholding with side information.
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README.md

asus

Build Status CRAN_Status_Badge

The R-package asus implements the ASUS (Adpative SURE thresholding with Side Information) procedure that estimates a high-dimensional sparse parameter when along with the primary data we can also gather side information from secondary data sources. ASUS is an adaptive and robust methodology for leveraging auxiliary data to improve the accuracy of existing methods for estimating a high-dimensional sparse parameter. It is adaptive to both the unknown sparsity of the parameter and the degree of informativeness in the associated side information, and is robust in performance when pooling non-informative auxiliary data.

See the reference for more details around the ASUS procedure.

Installation

You can:

  1. install the release version of asus from CRAN with install.packages("asus").

  2. install the development version of asus

  devtools::install_github("trambakbanerjee/asus")

Usage

See the included vignette demo-asus for illustrative examples.

References

Adaptive Sparse Estimation with Side Information.
Banerjee, T., Mukherjee, G. and Sun, W. (under review)