### Weijie Su - When Does the First Spurious Variable Get Selected by Sequential Regression Procedures?

### 3 Answers

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Weijie's new paper: https://arxiv.org/abs/1708.03046

An earlier related paper: https://arxiv.org/abs/1511.01957

An earlier related paper: https://arxiv.org/abs/1511.01957

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In the theorems on Slides 18 and 19, is there any assumption on the ratio of strongest to smallest signal? Or are you using \(\beta_{j}=C\sqrt{2 \log p}\) as on preceding slides? (with C a constant)

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In your simulation setting, values of
For the second part, it will be different. T is likely to be larger. In Figure 2(d) we have examined this issue a bit. In the most extreme case, suppose b1=b2=...=b40=1000 and b41=b42=...=b80=0.001, T will behave as if k=40. In this kind of case, we might want to define an "effective" sparsity.

**coefficients are the same, what if the value of coefficients varies, same result holds?**
written
9 months ago by
Weijie Su

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