Variable Selection and Model Building via Likelihood Basis Pursuit

  title={Variable Selection and Model Building via Likelihood Basis Pursuit},
  author={Hao Helen and Grace Wahba and Yi Juain Lin and Meta Voelker and Michael C. Ferris and Ronald Klein and Barbara Klein},
We describe Likelihood Basis Pursuit, a nonparametric method for variable selection and model building, based on merging ideas from Lasso and Basis Pursuit works and from smoothing spline ANOVA models. An application to nonparametric variable selection for risk factor modeling in the Wisconsin Epidemiological Study of Diabetic Retinopathy is described. Although there are many approaches to variable and model selection, we believe that this one has some novel and useful aspects. 
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