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fact >> (X->X) Pretraitments by variable selection > covsel

covsel

selection of variables by maximizing their covariance to y

Calling sequence

[vs,cumvar_xy,xs,vso] = covsel(x,y,nv);

Arguments

x, y:

a matrix (n x q) and a vector (n x 1) or Div structures

nv:

number of variables to be selected

vs:

selected variables in the order they were selected

cumvar_xy:

sum of variances of x (first column) and of y (second column)

xs:

matrix x with only the selected variables

vso:

selected variables in increasing order

Examples

[v1,varxy,x2,v2]=covsel(x,y,25)

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