Abstract
The continuous shrinkage while achieving consistent variable selection is a desirable property of these shrinkage methods. In this paper, we have studied the consistent variable selection of various shrinkage methods. We pointed out that efficiency of solution path plays the key role in selection of relevant variables. We also suggested a novel measure to study the solution path efficiency. Our numerical results show that efficient solution path makes the job of tuning parameter easier. Extensive simulations have been performed to compare the variable selection methods for correct classification of relevant and irrelevant predictors under various scenarios. The method selected on the basis of proposed measure has been applied on a real life example to illustrate its application.
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