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Variable selection through CART

Marie SauveChristine Tuleau-Malot — 2014

ESAIM: Probability and Statistics

This paper deals with variable selection in regression and binary classification frameworks. It proposes an automatic and exhaustive procedure which relies on the use of the CART algorithm and on model selection via penalization. This work, of theoretical nature, aims at determining adequate penalties, penalties which allow achievement of oracle type inequalities justifying the performance of the proposed procedure. Since the exhaustive procedure cannot be realized when the number of variables is...

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