High-dimensional statistics with R

An R package for assumption-lean covariance matrix estimation in high dimensions

Regularized estimation of high-dimensional FAVAR models

High Dimensional Portfolio Selection with Cardinality Constraints

Julia package to perform Bayesian clustering of high-dimensional Euclidean data using pairwise dissimilarity information.

Implementation of High-dimensional vector autoregression time series modeling via tensor decomposition, Di Wang, Yao Zheng, Heng Lian, Guodong Li. Written in JAX.

Leveraging the full dimensionality of single-cell transcriptomics (among other things!)

Official code repository for "Penalized MLE of multi-layer Gaussian Graphical Models"

Code for the paper "Interpolation can hurt robust generalization even when there is no noise" available here: https://papers.nips.cc/paper/2021/hash/c4f2c88e16a579900657c18726641c81-Abstract.html

Fast and flexible models for extremal events.

High-dimensional Statistics in R, online workshop 27 Feb - 1 Mar

High-Dimensional Statistics with R

High-dimensional Statistics in R, online workshop 19 - 22 Mar

Python scripts from paper Optimal cleaning for singular values of cross-covariance matrices, by Florent Benaych-Georges, Jean-Philippe Bouchaud, Marc Potters (see https://arxiv.org/abs/1901.05543)

Accessible implementation of statistical learning algorithms, non-parametric and high-dimensional methods.

Thresholded Ordered Sparse CCA

On Storey’s direct approach to false discovery rates - High-Dimensional Data Analysis Seminar

Bayesian survival models for high-dimensional data