TRexSelector

CRANTRexSelectorMaRDI QIDQ100026

T-Rex Selector: High-Dimensional Variable Selection & FDR Control

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

Last update: 23 February 2024

Copyright license: GNU General Public License

Software version identifier: 0.0.1, 1.0.0

Description

Performs fast variable selection in high-dimensional settings while controlling the false discovery rate (FDR) at a user-defined target level. The package is based on the paper Machkour, Muma, and Palomar (2022) <arXiv:2110.06048>.

Cites work

• The Terminating-Random Experiments Selector: Fast High-Dimensional Variable Selection with False Discovery Rate Control

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