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sisal (version 0.46)

Sequential Input Selection Algorithm

Description

Implements the SISAL algorithm by Tikka and Hollmn. It is a sequential backward selection algorithm which uses a linear model in a cross-validation setting. Starting from the full model, one variable at a time is removed based on the regression coefficients. From this set of models, a parsimonious (sparse) model is found by choosing the model with the smallest number of variables among those models where the validation error is smaller than a threshold. Also implements extensions which explore larger parts of the search space and/or use ridge regression instead of ordinary least squares.

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Install

install.packages('sisal')

Monthly Downloads

111

Version

0.46

License

GPL (>= 2)

Maintainer

Last Published

October 10th, 2015

Functions in sisal (0.46)