CAR Estimation, Variable Selection, and Regression
Description
The "care" package implements the CAR regression approach
described in Zuber and Strimmer (2010). CAR scores measure the
correlations 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 - see
http://arxiv.org/abs/1007.5516 for details. 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.