Advances in data collection and storage capabilities have led to an information overload in most sciences. Such datasets present new challenges in data analysis. Traditional statistical methods break down partly because of the increase in the number of observations, but mostly because of the increase in the number of variables associated with each observation. The dimension of the data is the number of variables that are measured on each observation. One of the problems with high-dimensional datasets is that, in many cases, not all the measured variables are "important" for understanding the...