Implements the SISAL algorithm by Tikka and Hollmén. It is a sequential backward selection algorithm which uses a linear model in a cross-validation setting. Starting from the full model, one variable at a time is removed based on the regression coefficients. From this set of models, a parsimonious (sparse) model is found by choosing the model with the smallest number of variables among those models where the validation error is smaller than a threshold. Also implements extensions which explore larger parts of the search space and/or use ridge regression instead of ordinary least squares.
|Depends:||R (>= 3.1.2)|
|Imports:||graphics, grDevices, grid, methods, stats, utils,|
|boot, lattice, mgcv, digest, R.matlab, R.methodsS3|
|Suggests:||graph, Rgraphviz, testthat (>= 0.8)|
|License:||GPL (>= 2)|
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
bootMSE Bootstrap Estimate of Mean Squared Error Using SISAL Object dynTextGrob Create Text with Changing Size laggedData Create Input Matrix and Output Vector for Time Series Prediction plot.sisal Plotting Sequential Input Selection Results plotSelected.sisal Plotting Sets of Inputs Produced by Sequential Input Selection print.sisal Printing Sequential Input Selection Objects sisal Sequential Input Selection Algorithm (SISAL) sisal-package sisal: Sequential input selection algorithm in R sisalData Download External Datasets for SISAL sisalTable Draw Table with Equally Sized Cells summary.sisal Summarizing Sequential Input Selection Results testSisal Testing the Sequential Input Selection Algorithm toy.learn Toy Data for SISAL (Learning Set) toy.test Toy Data for SISAL (Test Set) tsToy.learn Toy Time Series Data for SISAL (Learning Set) tsToy.test Toy Time Series Data for SISAL (Test Set)
Run input selection on your own data with
sisal. For demo
testSisal to run the algorithm on example
data sets. After input selection, compute bootstrap MSE in test data
Mikko Korpela [email protected]
Tikka, J. and Hollmén, J. (2008) Sequential input selection algorithm for long-term prediction of time series. Neurocomputing, 71(13–15):2604–2615.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.