Mkhadri, Abdallah; Ouhourane, Mohamed - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 631-644
The problem of variable selection for linear regression in a high dimension model is considered. A new method, called Extended-VISA (Ext-VISA), is proposed to simultaneously select variables and encourage a grouping effect where strongly correlated predictors tend to be in or out of the model...