Variable Selection via Tilted Correlation Screening Algorithm
Compute the L2 norm of each column
Select a threshold for sample correlation matrix
Compute the least squares estimate on a given index set
Compute the projection matrix onto a given set of variables
Select the final model
Hard-threshold a matrix
Variable Selection via Tilted Correlation Screening Algorithm
Variable selection via Tilted Correlation Screening algorithm
Implements an algorithm for variable selection in high-dimensional linear regression using the "tilted correlation", a new way of measuring the contribution of each variable to the response which takes into account high correlations among the variables in a data-driven way.