Subset Selection in Linear Regression using Sequentially Normalized Least Squares: Asymptotic Theory
Jussi Maatta, Daniel F Schmidt, Teemu Roos
Scandinavian Journal of Statistics | WILEY-BLACKWELL | Published : 2016
The authors thank Jorma Rissanen and Enes Makalic for useful discussions. J.M. and T.R. are supported by the Academy of Finland under the Finnish Centre of Excellence in Computational Inference Research (COIN).