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Recursive Feature Elimination (RFE) for Support Vector Machines

January, 2016

This folder contains the Matlab implementation of the risk based recursive feature elimination for support vector machines proposed in Section 3 and the codes for the simulations that appear in Section 8 of Dasgupta, Goldberg and Kosorok (2015). It also has the Spider library for Matlab which is required for the codes to run properly.

The folder contains two main folders apart from ‘spider’. The @risk_rfe folder contains the codes for the implementation of the risk based recursive feature elimination algorithm for support vector machines. The ‘simulation’ folder contains the subfolders which help in simulating the data sets. It also has the following Matlab files:

· scree_plot.m to run the initial scree plots.

· change_point_ana_linear.m to run the change point analysis with linear-linear trend and generate plots.

· change_point_ana_quad.m to run the change point analysis with linear-quadratic trend and generate plots.

· additionally there are six files that contain codes for running various simulations that were presented in the paper.

Please email sdg.roopkund@gmail.com if you have any comments or questions related to the codes.

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