Guo, Yi; Berman, Mark; Gao, Junbin - In: Computational Statistics & Data Analysis 75 (2014) C, pp. 39-52
Two fast group subset selection (GSS) algorithms for the linear regression model are proposed in this paper. GSS finds the best combinations of groups up to a specified size minimising the residual sum of squares. This imposes an l0 constraint on the regression coefficients in a group context....