WLogit
From MaRDI portal
Software:5983473
Variable Selection in High-Dimensional Logistic Regression Models using a Whitening Approach
Last update: 17 July 2023
Copyright license: GNU General Public License, version 2.0
Software version identifier: 1.0, 2.0, 2.1
It proposes a novel variable selection approach in classification problem that takes into account the correlations that may exist between the predictors of the design matrix in a high-dimensional logistic model. Our approach consists in rewriting the initial high-dimensional logistic model to remove the correlation between the predictors and in applying the generalized Lasso criterion.
