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Simultaneous Variable Selection

Technometrics, 2005
We propose a new method for selecting a common subset of explanatory variables where the aim is to model several response variables. The idea is a natural extension of the LASSO technique proposed by Tibshirani (1996) and is based on the (joint) residual sum of squares while constraining the parameter estimates to lie within a suitable polyhedral ...
Berwin A. Turlach   +2 more
openaire   +1 more source

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