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Comparing variable selection techniques for linear regression: LASSO and Autometrics.
Epprecht, Camila; Guegan, Dominique; Veiga, Álvaro - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013
(automatic general-to-specific selection) and LASSO (?1-norm regularization). In a simulation study, we show the performance of …
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