Mary-Huard, Tristan; Robin, Stéphane; Daudin, Jean-Jacques - In: Journal of Multivariate Analysis 98 (2007) 4, pp. 695-705
In this paper, the problem of variable selection in classification is considered. On the basis of recent developments in model selection theory, we provide a criterion based on penalized empirical risk, where the penalization explicitly takes into account the number of variables of the...