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r-farmtest 2.2.0
Propagated dependencies: r-rcpparmadillo@14.0.2-1 r-rcpp@1.0.13-1
Channel: guix-cran
Location: guix-cran/packages/f.scm (guix-cran packages f)
Home page: https://github.com/XiaoouPan/FarmTest
Licenses: GPL 3
Synopsis: Factor-Adjusted Robust Multiple Testing
Description:

This package performs robust multiple testing for means in the presence of known and unknown latent factors presented in Fan et al.(2019) "FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control" <doi:10.1080/01621459.2018.1527700>. Implements a series of adaptive Huber methods combined with fast data-drive tuning schemes proposed in Ke et al.(2019) "User-Friendly Covariance Estimation for Heavy-Tailed Distributions" <doi:10.1214/19-STS711> to estimate model parameters and construct test statistics that are robust against heavy-tailed and/or asymmetric error distributions. Extensions to two-sample simultaneous mean comparison problems are also included. As by-products, this package contains functions that compute adaptive Huber mean, covariance and regression estimators that are of independent interest.

Total results: 1