Ando, Tomohiro; Li, Ker-Chau - In: Journal of the American Statistical Association 109 (2014) 505, pp. 254-265
This article considers high-dimensional regression problems in which the number of predictors <italic>p</italic> exceeds the sample size <italic>n</italic>. We develop a model-averaging procedure for high-dimensional regression problems. Unlike most variable selection studies featuring the identification of true predictors, our...
