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Avagyan, Vahe; Alonso, Andrés M.; Nogales, Francisco J. - Departamento de Estadistica, Universidad Carlos III de … - 2014

the graphical lasso framework (glasso) that is able to attain better statistical performance without sacrificing too much …

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Schanbacher, Peter - 2013

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Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014

autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong …

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Campino, Jonas de Oliveira; Galizia, Frederico; … - In: Journal of risk management in financial institutions 14 (2020/2021) 3, pp. 229-241

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