Wang, Zhan; Paterlini, Sandra; Gao, Fuchang; Yang, Yuhong - Dipartimento di Economia "Marco Biagi", Università … - 2012
Given a dictionary of Mn 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 = q = 1) constraint on the linear coefficients. Besides identifying...