Stability Selection with Error Control

Resampling procedures to assess the stability of selected variables with additional finite sample error control for high-dimensional variable selection procedures such as Lasso or boosting. Both, standard stability selection (Meinshausen & Buhlmann, 2010, ) and complementary pairs stability selection with improved error bounds (Shah & Samworth, 2013, ) are implemented. The package can be combined with arbitrary user specified variable selection approaches.