Robust Linear Model Selection Based on Bootstrap Robust LARS
We provide R code to sequence candidate predictors using the bootstrap robust LARS
procedure. An example illustrates the use of this code.
Questions can be sent to
Stefan Van Aelst.
R code
Main function to sequence candidate predictors using the bootstrap robust LARS
procedure: B-RLARS.R
An example that illustrates the use of the above code:
EXAMPLE.R
Data sets analyzed in the paper listed below
US demographic data
Structure of the variables in the protein data set:
Description
Complete protein training data set (compressed, 22MB):
Protein data
Reduced protein data set:
Training data
Test data
Reference
Khan, J.A., Van Aelst, S., and Zamar, R.H. (2007), "
Robust Linear Model Selection Based on Least Angle Regression, "
Journal of the American Statistical Association , 102, 1289-1299.
Paper