tlars

The T-LARS Algorithm: Early-Terminated Forward Variable Selection

CRAN Package

Computes the solution path of the Terminating-LARS (T-LARS) algorithm. The T-LARS algorithm is a major building block of the T-Rex selector (see R package 'TRexSelector'). The package is based on the papers Machkour, Muma, and Palomar (2022) doi:10.48550/arXiv.2110.06048, Efron, Hastie, Johnstone, and Tibshirani (2004) doi:10.1214/009053604000000067, and Tibshirani (1996) doi:10.1111/j.2517-6161.1996.tb02080.x.


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