This article discusses a far more general version of the technique described in our article The best kept secret about regression. Here we adapt our methodology so that it applies to data sets with a more complex structure, in particular with highly correlated independent variables.
Our goal is to produce a regression tool that can be used as a black box, be very robust and parameter-free, and usable and easy-to-interpret by non-statisticians. It is part of a bigger project: automating many fundamental data science tasks, to make it easy, scalable and cheap to use for data consumers, not just for data experts.
Read full article at http://bit.ly/1nFp51F
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