Friedman, Jerome H. - In: International Journal of Forecasting 28 (2012) 3, pp. 722-738
, traditional methods fail. Recently, new techniques have been developed, based on regularization, which can often produce accurate … models in these settings. This paper describes the basic principles underlying the method of regularization, then focuses on … those methods which exploit the sparsity of the predicting model. The potential merits of these methods are then explored by …
