Sequential Input Selection Algorithm

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.


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0.48 by Mikko Korpela, a year ago

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Authors: Mikko Korpela [aut, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports graphics, grDevices, grid, methods, stats, utils, boot, lattice, mgcv, digest, R.matlab, R.methodsS3

Suggests graph, Rgraphviz, testthat

See at CRAN