Simulation Based Inference of Lasso Estimator
Description
Simulation based inference of lasso estimator. It provides several
methods to sample lasso estimator: (a) Gaussian and wild multiplier bootstrap for
lasso, group lasso, scaled lasso and scaled group lasso, (b) importance sampler
for lasso, group lasso, scaled lasso and scaled group lasso, (c) Markov chain
Monte Carlo sampler for lasso, (d) post-selection inference for lasso.
See Zhou, Q. and Min, S. (2017) for details.