1. A computer-implemented method of variable group selection comprising: providing at a computer device, a training data set for which a predictive model is to be generated; iteratively selecting from among a plurality of variables of said data set, one or more variable groups minimizing a residual error in each iteration; and in each iteration, selecting a variable group with respect to the minimization of residual error of an updated predictive model when the selected variable group is included in the said predictive model in addition to those variable groups that have been selected in earlier iterations; and, performing a regression by an arbitrary component regression method using the selected variable groups selected into the current predictive model up to the current iteration in each iteration to obtain said updated predictive model, wherein a program using a processor unit executes one or more said iteratively selecting and performing step.