# Optimal Two-Step Prediction in Regression

arXiv: https://arxiv.org/abs/1410.5014 · HTML: https://mlsanity.com/paper/1410.5014/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 18 Oct 2014.

## Built on by (most cited first, 1 of 1)

- [Transportation Marketplace Rate Forecast Using Signature Transform](https://mlsanity.com/paper/2401.04857/) (2024)

## Abstract (arXiv)

High-dimensional prediction typically comprises two steps: variable selection and subsequent least-squares refitting on the selected variables. However, the standard variable selection procedures, such as the lasso, hinge on tuning parameters that need to be calibrated. Cross-validation, the most popular calibration scheme, is computationally costly and lacks finite sample guarantees. In this paper, we introduce an alternative scheme, easy to implement and both computationally and theoretically efficient.