On the sparsity of Mallows model averaging estimator
Year of publication: |
2020
|
---|---|
Authors: | Yang, Feng ; Liu, Qingfeng ; Okui, Ryo |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 187.2020, p. 1-5
|
Subject: | Sparsity | Model averaging | L1 penalty | Coordinate-wise descent algorithm | Modellierung | Scientific modelling | Schätzung | Estimation | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference |
-
Penalized time-varying model averaging
Sun, Yuying, (2023)
-
Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian, (2021)
-
Predictive model averaging with parameter instability and heteroskedasticity
Yin, Anwen, (2024)
- More ...
-
Heteroscedasticity-robust C p model averaging
Liu, Qingfeng, (2013)
-
On the Sparsity of Mallows’ Model Averaging Estimator
Feng, Yang, (2019)
-
Heteroskedasticity-Robust Cp Model Averaging
Liu, Qingfeng, (2020)
- More ...