Filter the predictors, retaining only the top n.
filter.predictors(x, y, n, ignore = NULL)An array of indices of variables that are retained by the filter.
Design matrix.
Outcome variable.
Number of variables to retain.
Names of variables that should be ignored by the filter.
This performs a univariate test of association of each predictor (not listed
in ignore) with the outcome, and retains the top n variables
with smallest p-value according to a Kolmogorov-Smirnov test.