The natural package contains implementations of two methods of estimating error variance in a high-dimensional linear model.
The details of the method can be found in
Yu, Bien (2017) Estimating the error variance in a high-dimensional linear model.
natural is now available on CRAN. To install natural from CRAN, simply type in R console
install.packages("natural")A vignette contains examples of how to use the package.
To install natural from github, type in R console
devtools::install_github("hugogogo/natural", build_vignettes = TRUE)Note that the installation above requires using R package devtools
(which can be installed using install.packages("devtools")).