ensembleEN: Ensembling Regularized Linear Models

Functions for computing the ensembles of regularized linear regression estimators defined in Christidis, Lakshmanan, Smucler and Zamar (2017) <arXiv:1712.03561>. The procedure works on top of a given penalized linear regression estimator, the Elastic Net in this implementation, by fitting it to possibly overlapping subsets of features, while at the same time encouraging diversity among the subsets, to reduce the correlations between the predictions that result from each fitted model. The predictions from the models are then aggregated.

Getting started

Package details

AuthorAnthony Christidis <anthony.christidis@stat.ubc.ca>, Ezequiel Smucler <ezequiels.90@gmail.com>, Ruben Zamar <ruben@stat.ubc.ca>
MaintainerEzequiel Smucler <ezequiels.90@gmail.com>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

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ensembleEN documentation built on Feb. 11, 2018, 3:10 p.m.