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Time varying quantile Lasso
Zbonakova, Lenka; Härdle, Wolfgang; Wang, Weining - 2016
operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The …
Persistent link: https://www.econbiz.de/10011557306
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Testing endogeneity with high dimensional covariates
Guo, Zijian; Kang, Hyunseung; Cai, T. Tony; Small, Dylan S. - In: Journal of econometrics 207 (2018) 1, pp. 175-187
Persistent link: https://www.econbiz.de/10012116193
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High-dimensional censored regression via the penalized Tobit likelihood
Jacobson, Tate; Zou, Hui - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 286-297
Persistent link: https://www.econbiz.de/10014449928
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A pricing problem with unknown arrival rate and price sensitivity
Avramidis, Athanassios N. - In: Mathematical methods of operations research : ZOR 92 (2020) 1, pp. 77-106
Persistent link: https://www.econbiz.de/10012301647
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Dynamic treatment effects
Heckman, James J.; Humphries, John Eric; Veramendi, Gregory - In: Journal of econometrics 191 (2016) 2, pp. 276-292
Persistent link: https://www.econbiz.de/10011610524
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CVaR regression based on the relation between CVaR and mixed-quantile quadrangles
Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22
A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...
Persistent link: https://www.econbiz.de/10012025262
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Oracle inequalities for high dimensional vector autoregressions
Kock, Anders Bredahl; Callot, Laurent - In: Journal of econometrics 186 (2015) 2, pp. 325-344
Persistent link: https://www.econbiz.de/10011349464
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On the use of the lasso for instrumental variables estimation with some invalid instruments
Windmeijer, Frank; Farbmacher, Helmut; Davies, Neil; … - 2016
Persistent link: https://www.econbiz.de/10011488328
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Adaptive LASSO estimation for ARDL models with garch innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
In this paper we show the validity of the adaptive LASSO procedure in estimating stationary ARDL(p,q) models with GARCH … innovations. We show that, given a set of initial weights, the adaptive Lasso selects the relevant variables with probability … variables beforehand. Finally, we show that the LASSO estimator can be used to construct the initial weights. The performance of …
Persistent link: https://www.econbiz.de/10010505034
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Multi-step virtual metrology for semiconductor manufacturing : a multilevel and regularization methods-based approach
Susto, Gian Antonio; Pampuri, Simone; Schirru, Andrea; … - In: Computers & operations research : and their … 53 (2015), pp. 328-337
Persistent link: https://www.econbiz.de/10010493468