StepwiseSelectionOLS

Best Subset Selection, Forward Stepwise, Backward Stepwise Classes in sk-learn style.

This package is compatible to sklearn. Examples on Pipeline and GridSearchCV are given.

ForwardStepwiseOLS

2020-04-19

Hyperparameter

fK: at most fK number of features are selected

BackwardStepwiseOLS

2020-04-29

Hyperparameter

fK: at least fK number of features are selected, $fK>=1$

BestSubsetOLS

Hyperparameter

fK: exactly fK number of features are selected

Reference

https://github.com/scikit-learn-contrib/project-template/blob/master/skltemplate/_template.py

https://en.wikipedia.org/wiki/Stepwise_regression