WLasso

Variable Selection for Highly Correlated Predictors

It proposes a novel variable selection approach taking into account the correlations that may exist between the predictors of the design matrix in a high-dimensional linear model. Our approach consists in rewriting the initial high-dimensional linear model to remove the correlation between the predictors and in applying the generalized Lasso criterion. For further details we refer the reader to the paper <arXiv:2007.10768> (Zhu et al., 2020).

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