Bi-Level Selection of Conditional Main Effects
Description
Provides functions for implementing cmenet - a bi-level variable selection method for conditional main effects (see Mak and Wu (2018) ). CMEs are reparametrized interaction effects which capture the conditional impact of a factor at a fixed level of another factor. Compared to traditional two-factor interactions, CMEs can quantify more interpretable interaction effects in many problems. The current implementation performs variable selection on only binary CMEs; we are working on an extension for the continuous setting.