NAG CPP Interface
correg (G02)
Correlation and Regression Analysis

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G02 (Correg) Chapter Introduction (FL Interface) – A description of the Chapter and an overview of the algorithms available.


g02akf corrmat_nearest_rank
Computes the rank-constrained nearest correlation matrix to a real square matrix, using the method of Qi and Sun
g02maf lars
Least angle regression (LARS), least absolute shrinkage and selection operator (LASSO) and forward stagewise regression