Given a small number of observations, we want to recover which features of X are relevant to explain y. For this sparse linear models can outperform standard statistical tests if the true model is sparse, i.e. if a small fraction of the features are relevant. As detailed in the compressive sensing notes, the ability of L1-based approach to identify the relevant variables depends on the sparsity of the ground truth, the number of samples, the number of features, the conditioning of the design m