Cajo J. F. ter Braak
Regression methods for high dimensional data, such as LASSO, elastic net, PLS and ridge regression, regularize the regression coefficients by penalizing their size. We show that such methods perform poorly on data generated by a latent variable model with different numbers of predictors per latent variable. The new and better performing method proposed here (ROSCAS) exploits the idea that a priori correlated predictors should have similar coefficients by penalizing contrasts and sums derived from the X-correlations.