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High-dimensional estimation, basis assets, and the adaptive multi-factor model
Zhu, Liao; Basu, Sumanta; Jarrow, Robert A.; Wells, … - In: The quarterly journal of finance 10 (2020) 4, pp. 1-52
Persistent link: https://www.econbiz.de/10012627440
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Fast best subset selection : coordinate descent and local combinatorial optimization algorithms
Hazimeh, Hussein; Mazumder, Rahul - In: Operations research 68 (2020) 5, pp. 1517-1537
Persistent link: https://www.econbiz.de/10012301566
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Subset selection with shrinkage : sparse linear modeling when the SNR is low
Mazumder, Rahul; Radchenko, Peter; Dedieu, Antoine - In: Operations research 71 (2023) 1, pp. 129-147
Persistent link: https://www.econbiz.de/10014308406