# Efficient Test-based Variable Selection for High-dimensional Linear Models

## TL;DR

This paper introduces a novel, efficient test-based variable selection method for high-dimensional linear models that offers competitive accuracy and lower computational cost compared to traditional cross-validation techniques.

## Contribution

The authors develop a flexible, test-based approach for variable selection that controls model complexity without relying on cross-validation, applicable to any sequential selection procedure.

## Key findings

- Method achieves high variable selection accuracy.
- Significantly reduces computational complexity.
- Proven to be statistically consistent.

## Abstract

Variable selection plays a fundamental role in high-dimensional data analysis. Various methods have been developed for variable selection in recent years. Well-known examples are forward stepwise regression (FSR) and least angle regression (LARS), among others. These methods typically add variables into the model one by one. For such selection procedures, it is crucial to find a stopping criterion that controls model complexity. One of the most commonly used techniques to this end is cross-validation (CV) which, in spite of its popularity, has two major drawbacks: expensive computational cost and lack of statistical interpretation. To overcome these drawbacks, we introduce a flexible and efficient test-based variable selection approach that can be incorporated into any sequential selection procedure. The test, which is on the overall signal in the remaining inactive variables, is based on the maximal absolute partial correlation between the inactive variables and the response given active variables. We develop the asymptotic null distribution of the proposed test statistic as the dimension tends to infinity uniformly in the sample size. We also show that the test is consistent. With this test, at each step of the selection, a new variable is included if and only if the $p$-value is below some pre-defined level. Numerical studies show that the proposed method delivers very competitive performance in terms of variable selection accuracy and computational complexity compared to CV.