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We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the sup-norm estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on highdimensional models has...
Persistent link: https://www.econbiz.de/10011168920
forecasting performance. In fact, we find that the classical Lee-Carter model will otherwise over estimate the reduction of …
Persistent link: https://www.econbiz.de/10011079279