Towards the interpretation of time-varying regularization parameters in streaming penalized regression models
Year of publication: |
2018
|
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Authors: | Zbonakova, Lenka ; Pio Monti, Ricardo ; Härdle, Wolfgang Karl |
Publisher: |
Berlin : Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" |
Subject: | Lasso | penalty parameter | stock prices | neuroimaging |
Series: | IRTG 1792 Discussion Paper ; 2018-059 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/230770 [Handle] RePEc:zbw:irtgdp:2018059 [RePEc] |
Classification: | C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques |
Source: |
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