We review variable selection and variable screening in high-dimensional linear models. Thereby, a major focus is an empirical comparison of various estimation methods with respect to true and false positive selection rates based on 128 different sparse scenarios from semi-real data (real data...

It is rather challenging for current variable selectors to handle situations where the number of covariates under consideration is ultra-high. Consider a motivating clinical trial of the drug bortezomib for the treatment of multiple myeloma, where overall survival and expression levels of 44760...