Breakdown Point of Model Selection When the Number of Variables Exceeds the Number of Observations

Abstract

The classical multivariate linear regression problem assumes p variables X<sub>1</sub>, X<sub>2</sub>,... ,X<sub>p</sub> and a response vector y, each with n observations, and a linear relationship between the two: y = Xbeta + z, where z ~ N(0, sigma<sup>2</sup>). We point out that when p &gt; n, there is a breakdown point for standard model selection… (More)
DOI: 10.1109/IJCNN.2006.246934

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