A Discussion on Practical Considerations with Sparse Regression Methodologies

• URL: http://arxiv.org/abs/2011.09362v2
• Date: Mon, 8 Feb 2021 19:43:24 GMT
• Title: A Discussion on Practical Considerations with Sparse Regression Methodologies
• Authors: Owais Sarwar and Benjamin Sauk and Nikolaos V. Sahinidis
• Abstract summary: Two papers published in Statistical Science study the comparative performance of several sparse regression methodologies. We summarize and compare the two studies and aim to provide clarity and value to users.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Sparse linear regression is a vast field and there are many different algorithms available to build models. Two new papers published in Statistical Science study the comparative performance of several sparse regression methodologies, including the lasso and subset selection. Comprehensive empirical analyses allow the researchers to demonstrate the relative merits of each estimator and provide guidance to practitioners. In this discussion, we summarize and compare the two studies and we examine points of agreement and divergence, aiming to provide clarity and value to users. The authors have started a highly constructive dialogue, our goal is to continue it.

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