Wang, Zhan; Paterlini, Sandra; Gao, Fuchang; Tang, Yuhong - Dipartimento di Economia "Marco Biagi", Università … - 2012
Given a dictionary of $M_n$ initial estimates of the unknown true regression function, we aim to construct linearly aggregated estimators that target the best performance among all the linear combinations under a sparse $q$-norm ($0 \leq q \leq 1$) constraint on the linear coefficients. Besides...