Selection Threshold Optimized Empirically via Splitting

A variable selection procedure for low to moderate size linear regressions models. This method repeatedly splits the data into two sets, one for estimation and one for validation, to obtain an empirically optimized threshold which is then used to screen for variables to include in the final model.


Reference manual

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0.1 by Marinela Capanu, 2 years ago

Browse source code at

Authors: Marinela Capanu , Mihai Giurcanu , Colin Begg , and Mithat Gonen

Documentation:   PDF Manual  

GPL-2 license

Imports changepoint, glmnet, MASS

See at CRAN