This paper presents a new algorithm for automatic variables selection. In particular, using the Graphical Models properties it is possible to develop a method that can be used in the contest of large dataset. The advantage of this algorithm is that can be combined with different forecasting models. In this research we have used the OLS method and we have compared the result with the LASSO method.
翻译:本文为自动变量选择提供了一个新的算法。 特别是, 使用图形模型属性, 可以开发出一种可用于大数据集竞赛的方法。 这个算法的优点是可以与不同的预测模型相结合。 在此研究中, 我们使用了 OLS 方法, 我们将结果与 LASSO 方法进行了比较 。