Modelling Interactions in High-Dimensional Data with Backtracking

Implementation of the algorithm introduced in Shah, R. D. (2016) <>. Data with thousands of predictors can be handled. The algorithm performs sequential Lasso fits on design matrices containing increasing sets of candidate interactions. Previous fits are used to greatly speed up subsequent fits so the algorithm is very efficient.


Reference manual

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0.1.2 by Rajen Shah, 4 years ago

Browse source code at

Authors: Rajen Shah [aut, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Matrix, parallel, Rcpp

Linking to Rcpp

See at CRAN