We introduce a fast stepwise regression method, called the orthogonal greedy algorithm (OGA), that selects input variables to enter a p-dimensional linear regression model (with p ≫ n, the sample size ...

Sokbae Lee, Myung Hwan Seo, Youngki Shin, The lasso for high dimensional regression with a possible change point, Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 78, ...