Outlook: Construction of Parsimonious Predictors
Developing a predictor means that we intend to apply it in the future to new subjects. This implies that we have to collect data for all covariates for the new subjects. This may limit the predictor’s practicability or acceptability. Hence, we often have the wish to construct predictors using as few covariates as possible, that is, to set some of the regression coefficients to 0.