asus - Adaptive SURE Thresholding Using Side Information
Provides the ASUS procedure for estimating a high
dimensional sparse parameter in the presence of auxiliary data
that encode side information on sparsity. It is a robust data
combination procedure in the sense that even when pooling
non-informative auxiliary data ASUS would be at least as
efficient as competing soft thresholding based methods that do
not use auxiliary data. For more information, please see the
paper Adaptive Sparse Estimation with Side Information by
Banerjee, Mukherjee and Sun (JASA 2020).
