The Variable Selection Problem

@inproceedings{George1999TheVS,
  title={The Variable Selection Problem},
  author={Edward I. George},
  year={1999}
}
The problem of variable selection is one of the most pervasive model selection problems in statistical applications. Often referred to as the problem of subset selection, it arises when one wants to model the relationship between a variable of interest and a subset of potential explanatory variables or predictors, but there is uncertainty about which subset to use. This vignette reviews some of the key developments which have led to the wide variety of approaches for this problem. 

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