robStepSplitReg

MaRDI QIDQ158701CRANFDO

Authors Gabriela Cohen-Freue, Anthony Christidis

Last update 29 June 2023

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

Software version identifier 1.0.0, 1.0.1, 1.0.2, 1.1.0

Description

Functions to perform robust stepwise split regularized regression. The approach first uses a robust stepwise algorithm to split the variables into the models of an ensemble. An adaptive robust regularized estimator is then applied to each subset of predictors in the models of an ensemble.

Cited in

(1)

• RMSS

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