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PCA, Factor Analysis, CCA, Sparse Covariance Matrix Estimation, Imputation, Multiple Hypothesis Testing

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High-Dimensional-Statistics

Not well organized, email or DM me on twitter and I'll clean it up.

Examples with data for:

  • PCA
  • Factor Analysis
  • CCA
  • Covariance Matrix Estimation using POET (Fan, Liao, Mincheva 2013)
  • Gaussian and Ising Graphic Models with LASSO (Meinhausen and Bühlmann, 2006) and L1-Regularized Logistic Regression (Wainwright, Ravikumar, and Lafferty 2006)
  • Imputation using SVD
  • Multiple Hypothesis Testing in R

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