tlars - The T-LARS Algorithm: Early-Terminated Forward Variable Selection
Computes the solution path of the Terminating-LARS (T-LARS) algorithm. The T-LARS algorithm is a major building block of the T-Rex selector (see R package 'TRexSelector'). The package is based on the papers Machkour, Muma, and Palomar (2022) <arXiv:2110.06048>, Efron, Hastie, Johnstone, and Tibshirani (2004) <doi:10.1214/009053604000000067>, and Tibshirani (1996) <doi:10.1111/j.2517-6161.1996.tb02080.x>.
Last updated 10 days ago
openblascppopenmp
4.48 score 2 stars 1 dependents 5 scripts 516 downloadsTRexSelector - T-Rex Selector: High-Dimensional Variable Selection & FDR Control
Performs fast variable selection in high-dimensional settings while controlling the false discovery rate (FDR) at a user-defined target level. The package is based on the paper Machkour, Muma, and Palomar (2022) <arXiv:2110.06048>.
Last updated 10 days ago
4.40 score 5 stars 5 scripts 522 downloads