tilting

R package tilting: 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.

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References in zbMATH (referenced in 1 article )

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  1. Staerk, Christian; Kateri, Maria; Ntzoufras, Ioannis: High-dimensional variable selection via low-dimensional adaptive learning (2021)