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The lasso and its variants have attracted much attention recently because of its ability of simultaneous estimation and … linearly constrained generalized lasso, where the constraints are either linear inequalities or equalities or both. The dual of …
Persistent link: https://www.econbiz.de/10011191025
approximate sparsity of the spatial weights matrix. The proposed estimation methodology exploits the Lasso estimator and mimics … variables is larger than the number of observations. We derive convergence rates for the two-step Lasso estimator. Our Monte …
Persistent link: https://www.econbiz.de/10011196471
-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised …
Persistent link: https://www.econbiz.de/10011196718
for the midpoints and the other one for the radii. The estimation problem is approached by introducing Lasso … midpoint and the radius models. The effectiveness of our method, called Lasso-IR (Lasso-based Interval-valued Regression), is …
Persistent link: https://www.econbiz.de/10011241020
We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...
Persistent link: https://www.econbiz.de/10011203043
This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and heuristic … subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In particular …, inconsistent results are obtained for pairwise strongly correlated predictors. An alternative to the Lasso is constituted by model …
Persistent link: https://www.econbiz.de/10008483960
Persistent link: https://www.econbiz.de/10012307402
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Persistent link: https://www.econbiz.de/10012217351
least absolute shrinkage and selection operator (LASSO) selection technique for choosing an appropriate subset of financial …. Finally, the authors demonstrate the effectiveness of the LASSO technique for identifying the most important financial ratios …
Persistent link: https://www.econbiz.de/10014935920