tilting: Variable Selection via Tilted Correlation Screening Algorithm

Haeran Cho

tilting: Variable Selection via Tilted Correlation Screening Algorithm

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Abstract

Implements an algorithm for variable selection in high-dimensional linear regression using the "tilted correlation", a new way of measuring the contribution of each variable to the response which takes into account high correlations among the variables in a data-driven way.

Original language	English
Publisher	CRAN
Publication status	Published - 26 Dec 2016

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tilting: Variable Selection via Tilted Correlation Screening Algorithm

Abstract

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High dimensional variable selection via tilting

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