Re: Approximate solution to linear regression

On 17 Jun., 21:46, "vincen...@xxxxxxxxx" <datashap...@xxxxxxxxx>
wrote:
Problem can have 40,000 variables, most of them highly correlated.
More variables than observations in some cases.


I haven't looked over your solution in great detail, but I would
suggest that:

1) Group your variables into clusters, based on their correlations
2) Construct an ensemble of regression models, each based on just one
exemplar from each cluster
3) Weight each model conservatively (because you have so many
variables); e.g. equal weighting.

Best regards,

Stefan W. Christensen

.

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