tlars

CRANtlarsMaRDI QIDQ100024

The T-LARS Algorithm: Early-Terminated Forward Variable Selection

Jasin MacHkour, Daniel P. Palomar, Michael Muma, Simon Tien

Last update: 24 February 2024

Software version identifier: 0.0.1, 1.0.0, 1.0.1

Copyright license: GNU General Public License

Description

Computes the solution path of the Terminating-LARS (T-LARS) algorithm. The T-LARS algorithm is a major building block of the T-Rex selector (see R package 'TRexSelector'). The package is based on the papers Machkour, Muma, and Palomar (2022) <arXiv:2110.06048>, Efron, Hastie, Johnstone, and Tibshirani (2004) <doi:10.1214/009053604000000067>, and Tibshirani (1996) <doi:10.1111/j.2517-6161.1996.tb02080.x>.

Cites work

• Least angle regression
• The Terminating-Random Experiments Selector: Fast High-Dimensional Variable Selection with False Discovery Rate Control
• Regression Shrinkage and Selection Via the Lasso