srlars

Split Robust Least Angle Regression

Anthony Christidis, Gabriela Cohen-Freue

Last update: 17 July 2023

Software version identifier: 1.0.0, 1.0.1

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Functions to perform split robust least angle regression. The approach first uses the least angle regression algorithm to split the variables into the models of an ensemble and robust estimates of the correlation between predictors. An elastic net estimator is then applied to the selected predictors in each model using the imputed data from the detect deviating cell (DDC) method.