For multivariate nonparametric regression models, existing variable selection methods with penalization require high …-dimensional nonparametric approximations in objective functions. When the dimension is high, none of methods with penalization in the literature … proposed to make existing methods feasible for selection with no need of nonparametric approximation. Selection consistency can …

decentralized Western European market. To that end, several price forecasting methods including autoregressive approaches, multiple … linear regression, and neural networks are considered. These methods are tested on hourly day-ahead price data during four …

include when regressing the dependent variable y on the covariates xj . In this paper three such methods, lasso, knockoff and …