korydjohnson/rai: Revisiting-Alpha-Investing for Polynomial Regression

A modified implementation of stepwise regression that greedily searches the space of interactions among features in order to build polynomial regression models. Furthermore, the hypothesis tests conducted are valid-post model selection due to the use of a revisiting procedure that implements an alpha-investing rule. As a result, the set of rejected sequential hypotheses is proven to control the marginal false discover rate. When not searching for polynomials, the package provides a statistically valid algorithm to run and terminate stepwise regression. For more information, see Johnson, Stine, and Foster (2019) <arXiv:1510.06322>.

install.packages("remotes")
remotes::install_github("korydjohnson/rai")