Why is there a least angle regression?
Least Angle Regression (LARS) relates to the classic model-selection method known as Forward Selection, or “forward stepwise regression,” de- scribed in Weisberg [(1980), Section 8.5]: given a collection of possible predic- tors, we select the one having largest absolute correlation with the response y, say xj1 , and ...
Can least angle regression do variable selection?
Abstract: Least Angle Regression is a promising technique for variable selection applications, offering a nice alternative to stepwise regression.