The problem of statistical model specification was initially raised by R.A. Fisher who understood it as an informed selection whose adequacy is testable a posteriori. This, however, raised the problem of how to blend substantive subject matter with statistical information in empirical modeling,...

The Dantzig selector (DS) is a recent approach of estimation in high-dimensional linear regression models with a large number of explanatory variables and a relatively small number of observations. As in the least absolute shrinkage and selection operator (LASSO), this approach sets certain...