tilting (1.1)

Variable Selection via Tilted Correlation Screening Algorithm.


Implements an algorithm for variable selection in high-dimensional linear regression using the "tilted correlation", a new way of measuring the contribution of each variable to the response which takes into account high correlations among the variables in a data-driven way.

Maintainer: Haeran Cho
Author(s): Haeran Cho

License: GPL (>= 2)

Uses: mvtnorm

Released almost 4 years ago.