1 code implementation • 25 Mar 2013 • Rajen Dinesh Shah, Nicolai Meinshausen
We show that informative interactions are retained with high probability, and the computational complexity of our procedure is of order $p^\kappa$ for a value of $\kappa$ that can reach values as low as 1 for very sparse data; in many more general settings, it will still beat the exponent $s$ obtained when using a brute force search constrained to order $s$ interactions.
