Similar Search Results

LASSO-type penalization in the framework of generalized additive models for location, scale and shape

Groll, Andreas; Hambuckers, Julien; Kneib, Thomas; … - 2018

options are provided: the conventional least absolute shrinkage and selection operator (LASSO) for metric covariates, and both … group and fused LASSO for categorical predictors. The methods are investigated both for simulated data and for two real data …

Persistent link: https://www.econbiz.de/10011899137

Regression discontinuity design with potentially many covariates

Arai, Yoichi; Otsu, Taisuke; Seo, Myung Hwan - 2022

Persistent link: https://www.econbiz.de/10014430086

High-dimensional portfolio optimization based on tree-structured factor model

Ni, Xuanming; Zheng, Tiantian; Zhao, Huimin; Zhu, Shushang - In: Pacific-Basin finance journal 81 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014500738

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2013

continuum of target parameters is of interest and the Lasso-type or post-Lasso type methods are used to estimate a continuum of … establish rate and consistency results for continua of Lasso or post-Lasso type methods for estimating continua of the (nuisance …

Persistent link: https://www.econbiz.de/10010227452

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2013

We consider estimation of policy relevant treatment effects in a data-rich environ ment where there may be many more control variables available than there are observations. In addition to allowing many control variables, the setting we consider allows heterogeneous treatment effects, endogenous...

Persistent link: https://www.econbiz.de/10010200037

Program evaluation with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - 2014 - This version: August 8, 2014

for a continuum of target parameters and for Lasso-type or Post-Lasso type methods to be used as estimators of a continuum … continua of Lasso or Post-Lasso type estimators for continua of (nuisance) regression functions and provide practical …

Persistent link: https://www.econbiz.de/10010388633