robStepSplitReg
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Software:158701
CRANrobStepSplitRegMaRDI QIDQ158701FDOQ158701
Robust Stepwise Split Regularized Regression
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
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.
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