Paper

Projective Inference in High-dimensional Problems: Prediction and Feature Selection

This paper discusses predictive inference and feature selection for generalized linear models with scarce but high-dimensional data. We argue that in many cases one can benefit from a decision theoretically justified two-stage approach: first, construct a possibly non-sparse model that predicts well, and then find a minimal subset of features that characterize the predictions... (read more)

Results in Papers With Code
(↓ scroll down to see all results)