mht: Multiple Hypothesis Testing for Variable Selection in
High-Dimensional Linear Models
Multiple Hypothesis Testing For Variable Selection in high dimensional linear models. This package performs variable selection with multiple hypothesis testing, either for ordered variable selection or non-ordered variable selection. In both cases, a sequential procedure is performed. It starts to test the null hypothesis "no variable is relevant"; if this hypothesis is rejected, it then tests "only the first variable is relevant", and so on until the null hypothesis is accepted.
||Florian Rohart <florian.rohart at gmail.com>