tilting-package {tilting} | R Documentation |
Variable Selection via Tilted Correlation Screening Algorithm
Description
Implements an algorithm for variable selection in high-dimensional linear regression using the "tilted correlation", a 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.
Details
Package: | tilting |
Type: | Package |
Version: | 1.1.1 |
Date: | 2016-12-22 |
License: | GPL (>= 2) |
LazyLoad: | yes |
The main function of the package is tilting
.
Author(s)
Haeran Cho, Piotr Fryzlewicz
Maintainer: Haeran Cho <haeran.cho@bristol.ac.ukk>
References
H. Cho and P. Fryzlewicz (2012) High-dimensional variable selection via tilting, Journal of the Royal Statistical Society Series B, 74: 593-622.
Examples
X <- matrix(rnorm(100*100), 100, 100) # 100-by-100 design matrix
y <- apply(X[,1:5], 1, sum)+rnorm(100) # first five variables are significant
tilt <- tilting(X, y, op=2)
tilt$active.hat # returns the finally selected variables
[Package tilting version 1.1.1 Index]