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There has been an intense development on the estimation of a sparse regression coefficient vector in statistics, machine learning and related fields.
Bayesian variable selection in linear regression
T. J. Mitchell and J. J. Beauchamp · 1988
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Applied multivariate statistical analysis , volume 4
Richard Arnold Johnson, Dean W Wichern, et al · 1992
Earlier work this paper cites.
Regression shrinkage and selection via the lasso
Robert Tibshirani · 1994
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Bayesian model averaging for linear regression models
Adrian E. Raftery, David Madigan, and Jennifer A. Hoeting · 1998
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An introduction to variational methods for graphical models
Michael I Jordan, Zoubin Ghahramani, Tommi S Jaakkola, and Lawrence K Saul · 1999
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Random forests
Leo Breiman · 2001
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Variable selection via nonconcave penalized likelihood and its oracle properties
Jianqing Fan and Runze Li · 2001
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Latent dirichlet allocation
David M Blei, Andrew Y Ng, and Michael I Jordan · 2003
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Model uncertainty
Merlise Clyde and Edward I George · 2004
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Pattern Recognition and Machine Learning (Information Science and Statistics)
Christopher M. Bishop · 2006
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A selective overview of variable selection in high dimensional feature space
Jianqing Fan and Jinchi Lv · 2010
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Regularization paths for generalized linear models via coordinate descent
Jerome Friedman, Trevor Hastie, and Robert Tibshirani · 2010
Cited alongside, same era.
Statistics for High-Dimensional Data: Methods, Theory and Applications
Peter Bühlmann and Sara van de Geer · 2011
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Random lasso
Sijian Wang, Bin Nan, Saharon Rosset, and Ji Zhu · 2011
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Scalable variational inference for bayesian variable selection in regression, and its accuracy in genetic association studies
Peter Carbonetto and Matthew Stephens · 2012
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Estimation in high-dimensional linear models with deterministic design matrices
Jun Shao and Xinwei Deng · 2012
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Bayesian variable selection with shrinking and diffusing priors
Naveen Naidu Narisetty and Xuming He · 2014
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EMVS: The EM approach to Bayesian variable selection
Veronika Ročková and Edward I George · 2014
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