PDF-JournalofMachineLearningResearch13(2012)1973-1998Submitted3/11;Revised
XUEANDQUInthecasewheresomeofthepredictorvariablesareredundantthevaryingcoefcientmodelmightnotbeabletoproduceanaccurateandefcientestimatorModelselectionforsignicantpredictorsisespeciallycritical
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