KL-BSS: rethinking optimality for neighbourhood selection in structural equation models
KL-BSS:重新审视结构方程模型邻域选择的最优性
Abstract We introduce a new method for neighbourhood selection in linear structural equation models that improves over classical methods such as best subset selection (BSS) and the Lasso. Our method, called KL-BSS, takes advantage of the existence of underlying structure in SEM—even when this structure is unknown—and is easily implemented using existing solvers. Under weaker eigenvalue conditions compared to BSS and the Lasso, KL-BSS can provably recover the support of…