SIRthresholded

Sliced Inverse Regression with Thresholding

Jerome Saracco, Hadrien Lorenzo, Clement Weinreich

Last update: 9 June 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.0.0, 1.0.2

Description

Implements a thresholded version of the Sliced Inverse Regression method (Li, K. C. (1991) <doi:10.2307/2290563>), which allows to do variable selection.

Cites work

Sliced Inverse Regression for Dimension Reduction

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