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BOSSreg (version 0.2.0)

Best Orthogonalized Subset Selection (BOSS)

Description

Best Orthogonalized Subset Selection (BOSS) is a least-squares (LS) based subset selection method, that performs best subset selection upon an orthogonalized basis of ordered predictors, with the computational effort of a single ordinary LS fit. This package provides a highly optimized implementation of BOSS and estimates a heuristic degrees of freedom for BOSS, which can be plugged into an information criterion (IC) such as AICc in order to select the subset from candidates. It provides various choices of IC, including AIC, BIC, AICc, Cp and GCV. It also implements the forward stepwise selection (FS) with no additional computational cost, where the subset of FS is selected via cross-validation (CV). CV is also an option for BOSS. For details see: Tian, Hurvich and Simonoff (2021), "On the Use of Information Criteria for Subset Selection in Least Squares Regression", .

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Install

install.packages('BOSSreg')

Monthly Downloads

96

Version

0.2.0

License

GPL (>= 2)

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Maintainer

Sen Tian

Last Published

March 6th, 2021

Functions in BOSSreg (0.2.0)

calc.ic

Calculate an information criterion.
cv.boss

Cross-validation for Best Orthogonalized Subset Selection (BOSS) and Forward Stepwise Selection (FS).
coef.boss

Select coefficient vector(s) for BOSS.
boss

Best Orthogonalized Subset Selection (BOSS).
coef.cv.boss

Select coefficient vector based on cross-validation for BOSS or FS.
predict.boss

Prediction given new data entries.
predict.cv.boss

Prediction given new data entries.