care (version 1.1.11)

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.

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Install

install.packages('care')

Monthly Downloads

1,501

Version

1.1.11

License

GPL (>= 3)

Last Published

November 21st, 2021

Functions in care (1.1.11)