Forward Stepwise Regression Algorithm

Forward stepwise model selection algorithm (FSRA)

Forward stepwise model selection algorithm: Variables are sequentially added to the active set of variables. The procedure does not involve any tests of statistical significance of the potential covariates; instead, it produces a ranking that corresponds to the order of variables as they enter the active set.

The function can be provided with a dataset of size (K+1)xN (N observations, K predictors, one explained variable).