Fast algorithm to solve high dimensional linear regression with correlated noise and multiple measurements
Please visit https://qb3.github.io/CLaR/ for the latest version of the documentation.
To setup a fully functional environment we recommend you download this conda environment and install it with:
conda env create --file environment.yml
From a console or terminal clone the repository and install CLaR:
git clone https://github.com/QB3/CLaR.git conda env create --file environment.yml source activate clar-env pip install --no-deps -e .
You can find examples here
All dependencies are in ./environment.yml
If you use this code, please cite:
@article{bertrand2019handling,
title={Handling correlated and repeated measurements with the smoothed multivariate square-root {L}asso},
author={Bertrand, Quentin and Massias, Mathurin and Gramfort, Alexandre and Salmon, Joseph},
year={2019},
journal={NeurIPS}
}
ArXiv link: https://export.arxiv.org/abs/1902.02509