High-Dimensional Regression and CAR Score Variable Selection
Description
Implements the regression approach
of Zuber and Strimmer (2011) "High-dimensional regression and variable
selection using CAR scores" SAGMB 10: 34, .
CAR scores measure the correlation between the response and the
Mahalanobis-decorrelated predictors. The squared CAR score is a
natural measure of variable importance and provides a canonical
ordering of variables. This package provides functions for estimating
CAR scores, for variable selection using CAR scores, and for estimating
corresponding regression coefficients. Both shrinkage as well as
empirical estimators are available.