Variable Selection via Regularization
Statistical and Numerical Computing
Published Online: 15 JAN 2013
Copyright © 2002 John Wiley & Sons, Ltd
Encyclopedia of Environmetrics
How to Cite
Li, R. and Cui, H. 2013. Variable Selection via Regularization. Encyclopedia of Environmetrics. 6.
- Published Online: 15 JAN 2013
Variable selection has been an active research topic since the 1970s. There are hundreds of publications on variable selection. This entry describes regularization methods for variable selection developed in the recent literature. The regularization methods include classical variable selection criteria such as AIC and BIC and modern variable selection approaches such as LASSO, SCAD, and LARS.