Numerical characterization of support recovery in sparse regression with correlated design
Numerical characterization of support recovery in sparse regression with correlated design
Sparse regression is employed in diverse scientific settings as a feature selection method. A pervasive aspect of scientific data is the presence of correlations between predictive features. These correlations hamper both feature selection and estimation and jeopardize conclusions drawn from estimated models. On the other hand, theoretical results on sparsity-inducing …