The group lasso is an extension of the lasso to do variable selection on (predefined) groups of variables in linear regression models. The estimates have the attractive property of being invariant under groupwise orthogonal reparameterizations. We extend the group lasso to logistic regression...

We propose a flexible generalized auto-regressive conditional heteroscedasticity type of model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate "B"-splines of lagged observations and volatilities. Estimation of such a "B"-spline...

Estimation of structure, such as in variable selection, graphical modelling or cluster analysis, is notoriously difficult, especially for high dimensional data. We introduce stability selection. It is based on subsampling in combination with (high dimensional) selection algorithms. As such, the...

type="main" xml:id="rssb12017-abs-0001" <title type="main">Summary</title> <p>The ultimate goal of regression analysis is to obtain information about the conditional distribution of a response given a set of explanatory variables. This goal is, however, seldom achieved because most established regression models estimate only...</p>