mht (version 3.1.2)

mht-package: Multiple hypothesis testing for variable selection

Description

Multiple hypothesis testing for variable selection in high dimensional linear models. This package performs variable selection with multiple hypothesis testing, either for ordered variable selection or non-ordered variable selection. In both cases, a sequential procedure is performed. It starts to test the null hypothesis "no variable is relevant"; if this hypothesis is rejected, it then tests "only the first variable is relevant", and so on until the null hypothesis is accepted. More details are available in the paper `Multiple hypothesis testing for variable selection', Rohart F. (2011).

Details

Package:

mht

Type:

Package

Version:

3.1.2

License:

GPL-3

date: 20-03-2015

Two major functions: mht.order and mht (proc_ord and procbol in version

References

Multiple hypothesis testing for variable selection; F. Rohart 2011 Model-consistent sparse estimation through the bootstrap; F. Bach 2009 Adaptive tests of linear hypotheses by model selection; Baraud & al 2002

Examples

## Not run: 
# x=matrix(rnorm(100*20),100,20)
# beta=c(rep(2,5),rep(0,15))
# y=x%*%beta+rnorm(100)
# 
# # mht.order
# mod.order=mht.order(x,y,ordre=5:1)
# mod.order
# 
# # mht
# mod=mht(x,y,alpha=c(0.1,0.05),maxordre=15)
# mod
# ## End(Not run)