I'm trying to recreate Leo Breiman's work http://www.stat.washington.edu/courses/stat527/s13/readings/BreimanSpector_1992.pdf and I'm experiencing some major difficulties in R.
I've made it that far that I have a function producing random samples from multivariate normal distribution with zero mu vector and covariance matrix same as in the paper.
If I understand the paper correctly, I should make a random sample (checked), apply one of the 4 models H1-H4 to get the real values y (checked) and then apply LOOCV, K Fold, or Bootstrap to fit the data and compare the hat ys with the real ones. Though I'm not very experienced, I think I'm capable to construct all of this.
What I'm having major difficulties with is that I can't seem to find any fuction that would allow me to repeat the process in the paragraph above, store the result, and then repeat it again with -1 variables (the excluded variable can be excluded based on any criteria).
I've experimented with step(), stepAIC(), leaps(), regsubsets() and nothing gave me the slightest hint of what I need. However, there's a 100% chance I'm using them wrong. Can you please advise?
Thanks to everyone. Ondra