Nonnegative adaptive lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
Y Yang, L Wu - Journal of Statistical Planning and Inference, 2016 - Elsevier
This paper proposes the nonnegative adaptive lasso method for variable selection both in
the classical fixed p setting (OLS initial estimator) and the ultra-high dimensional setting …
the classical fixed p setting (OLS initial estimator) and the ultra-high dimensional setting …
Nonnegative adaptive lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
Y Yang, L Wu - Journal of Statistical Planning and Inference, 2016 - infona.pl
This paper proposes the nonnegative adaptive lasso method for variable selection both in
the classical fixed p setting (OLS initial estimator) and the ultra-high dimensional setting …
the classical fixed p setting (OLS initial estimator) and the ultra-high dimensional setting …
[PDF][PDF] Nonnegative adaptive lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
Y Yang, L Wu - Journal of Statistical Planning and Inference, 2016 - drive.google.com
The advent of computer technology makes it easier to collect massive data-sets, especially
in the financial field. An enduring interest in the financial field is doing portfolio management …
in the financial field. An enduring interest in the financial field is doing portfolio management …