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.
|License:||GPL (>= 2)|
The main function of the package is
Haeran Cho, Piotr Fryzlewicz
Maintainer: Haeran Cho <[email protected]>
H. Cho and P. Fryzlewicz (2012) High-dimensional variable selection via tilting, Journal of the Royal Statistical Society Series B, 74: 593-622.
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