smoothic

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Variable Selection Using a Smooth Information Criterion

Meadhbh O'Neill, Kevin Burke

Last update: 22 August 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.0.0, 0.1.0, 1.1.0, 1.2.0

Description

Implementation of the SIC epsilon-telescope method, either using single or distributional (multiparameter) regression. Includes classical regression with normally distributed errors and robust regression, where the errors are from the Laplace distribution. The "smooth generalized normal distribution" is used, where the estimation of an additional shape parameter allows the user to move smoothly between both types of regression. See O'Neill and Burke (2022) "Robust Distributional Regression with Automatic Variable Selection" for more details. <arXiv:2212.07317>. This package also contains the data analyses from O'Neill and Burke (2023). "Variable selection using a smooth information criterion for distributional regression models". <doi:10.1007/s11222-023-10204-8>.

Cites work

• Variable selection using a smooth information criterion for distributional regression models
• Robust Distributional Regression with Automatic Variable Selection

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