Discussion of ‘ Correlated variables in regression : clustering and sparse estimation
نویسندگان
چکیده
We would like to begin by congratulating the authors on their fine paper. Handling highly correlated variables is one of the most important issues facing practitioners in highdimensional regression problems, and in some ways it is surprising that it has not received more attention up to this point. The authors have made substantial progress towards practical methodological proposals, however, and we are sure the paper will stimulate considerable future research. In this discussion, we present a possible improvement to the cluster representative Lasso, give some further insights into the cluster group Lasso and conclude with some brief remarks on one possible new direction suggested by the work.
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