r-SMLE

Feature screening is a powerful tool in processing ultrahigh dimensional data. It attempts to screen out most irrelevant features in preparation for a more elaborate analysis. Xu and Chen (2014)<doi:10.1080/01621459.2013.879531> proposed an effective screening method SMLE, which naturally incorporates the joint effects among features in the screening process. This package provides an efficient implementation of SMLE-screening for high-dimensional linear, logistic, and Poisson models. The package also provides a function for conducting accurate post-screening feature selection based on an iterative hard-thresholding procedure and a user-specified selection criterion.