R package to Compute Shrinkage for Extreme Partial Least-Squares (SEPaLS) estimators, an adaptation of the original Partial Least Squares (PLS) method tailored to the extreme-value framework.
Joint work by Stéphane Girard, Hadrien Lorenzo and Julyan Arbel.
R code to replicate the results of the paper is available at https://github.com/hlorenzo/SEPaLS_simus.
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