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Online action learning in high dimensions: a new exploration rule for contextual et-greedy heuristics

Flores, Claudio C.; Medeiros, Marcelo C. - 2020

Bandit problems are pervasive in various fields of research and are also present in several practical applications … one of the most popular bandit solutions, the original et-greedy heuristics, to high-dimensional contexts. Moreover, we … range of exploration of new actions. We find reasonable bounds for the cumulative regret of a decaying et-greedy heuristic …

Persistent link: https://www.econbiz.de/10012292092

Time varying quantile Lasso

Zbonakova, Lenka; Härdle, Wolfgang Karl; 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/10011580445

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

Stable graphical model estimation with Random Forests for discrete, continuous, and mixed variables

Fellinghauer, Bernd; Bühlmann, Peter; Ryffel, Martin; … - In: Computational Statistics & Data Analysis 64 (2013) C, pp. 132-152

Random Forests in combination with Stability Selection allow to estimate stable conditional independence graphs with an error control mechanism for false positive selection. This approach is applicable to graphs containing both continuous and discrete variables at the same time. Its performance...

Persistent link: https://www.econbiz.de/10011056520

Estimating dynamic causal effects with unobserved confounders: a latent class version of the inverse probability weighted estimator

Bartolucci, Francesco; Grilli, Leonardo; Pieroni, Luca - Volkswirtschaftliche Fakultät, … - 2012

We consider estimation of the causal effect of a sequential binary treatment (typically corresponding to a policy or a subsidy in the economic context) on a final outcome, when the treatment assignment at a given occasion depends on the sequence of previous assignments as well as on time-varying...

Persistent link: https://www.econbiz.de/10011111592