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变量重要性的层级检验AI 解读

A frequently encountered challenge in high-dimensional regression is the detection of relevant variables. Variable selection suffers from instability and the power to detect relevant variables is typically low if predictor variables are highly correlated. When taking the multiplicity of the testing problem into account, the power diminishes even further. To gain power and insight, it can be advantageous to look for influence not at the level of individual variables but…

讨论：Lasso、L2Boosting 与 Dantzig 三种相关方法AI 解读

We would like to congratulate the authors for their thought-provoking and interesting paper.The Dantzig paper is on the timely topic of high-dimensional data modeling that has been the center of much research lately and where many exciting results have been obtained.It also falls in the very hot area at the interface of statistics and optimization: ℓ 1 -constrained minimization in linear models for computationally efficient model selection, or sparse model estimation (Chen,…