A Two-Stage Regularization Method for Variable Selection and Forecasting in High-Order Interaction Model

Table 2

The statistical performances of TSSRHR, TSLASSO, TSSCAD, and TSSRL. The performances are measured by number of nonzero elements of main effects, two-way interaction, three-way interactions, three-way interactions, MSE (×100), RMSE (×100), and computational costs (CC, in seconds, unless otherwise specified).

	Nz()	Nz()	Nz()	MSE	RMSE	CC
TSSRHR	1.00	1.00	7.00	8.61	29.33	0.48
TSLASSO	1.00	63.00	6311.00	136.66	116.89	0.22
TSSCAD	1.00	1.00	1.00	142.75	119.48	0.24
TSSRL	0.00	0.00	14.00	10.98	33.13	1.50