Mielniczuk, Jan; Teisseyre, Paweł - In: Computational Statistics & Data Analysis 71 (2014) C, pp. 725-742
A random subset method (RSM) with a new weighting scheme is proposed and investigated for linear regression with a large number of features. Weights of variables are defined as averages of squared values of pertaining t-statistics over fitted models with randomly chosen features. It is argued...