Dantzig selector

The Dantzig selector is a statistical method used to identify important variables in situations where there are many potential factors but only a few truly influence the outcome. It does this by finding a balance between fitting the data well and keeping the number of selected variables small, effectively reducing noise. Think of it as a way to highlight the most relevant signals in a large dataset, especially useful in fields like genetics or finance, where data sets can be vast. The approach helps improve prediction accuracy and interpretability by focusing on the most impactful variables.