Partial Profile Score Feature Selection in High-Dimensional Generalized Linear Interaction Models.
This is an implementation of the partial profile score feature selection (PPSFS) approach to generalized linear (interaction) models. The PPSFS is highly scalable even for ultra-high-dimensional feature space. See the paper by Xu, Luo and Chen (2021, <doi:10.4310/21-SII706>).
PPSFS: Partial Profile Score Feature Selection
Z. Xu, S. Luo and Z. Chen (2022). Partial profile score feature selection in high-dimensional generalized linear interaction models.