High-Dimensional Regression and CAR Score Variable Selection
The "care" package implements the regression approach of Zuber and Strimmer (2011). CAR scores measure the correlation between the response and the Mahalanobis-decorrelated predictors. The squared CAR score is a natural measure of variable importance and provides a canonical ordering of variables. This package provides functions for estimating CAR scores, for variable selection using CAR scores, and for estimating corresponding regression coefficients. Both shrinkage as well as empirical estimators are available.
Current Version: 1.1.4
Authors: Verena Zuber and Korbinian Strimmer.
Documentation and Installation:
Methodology Paper with R Code:
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