Routines for a collection of screen-and-clean type variable selection procedures.
|License:||GPL (>= 2)|
In order to use ScreenClean, the data need to be normalized, to make the standard deviation of the noise to be 1, and the l_2 norm of each length n predictor vector to be 1.
Pengsheng Ji, Jiashun Jin, Qi Zhang
Maintainer: Qi Zhangqiz19@pitt.edu
Ji, P. and Jin, J. (2012). UPS delivers optimal phase diagram in high dimensional variable selection. Ann. Statist., 40(1), 73-103.
Jin, J., Zhang, C.-H. and Zhang, Q. (2012). Optimality of Graphlet Screening in High Dimensional Variable Selection. arXiv:1204.6452