Combined l_1 and greedy l_0 penalized least squares for linear model selection

22 Oct 2013Piotr PokarowskiJan Mielniczuk

We introduce a computationally effective algorithm for a linear model selection consisting of three steps: screening--ordering--selection (SOS). Screening of predictors is based on the thresholded Lasso that is l_1 penalized least squares... (read more)

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