Comparing variable selection techniques for linear regression: LASSO and Autometrics.
Year of publication: |
2013-11
|
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Authors: | Epprecht, Camila ; Guegan, Dominique ; Veiga, Álvaro |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Model selection | variable selection | GETS | Autometrics | LASSO | adaptive LASSO | sparse models | oracle property | time series | GDP forecasting |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Notes: | 43 pages |
Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
-
Comparing variable selection techniques for linear regression: LASSO and Autometrics
Epprecht, Camila, (2013)
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Lasso-type and heuristic strategies in model selection and forecasting
Savin, Ivan, (2012)
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Lasso-type and Heuristic Strategies in Model Selection and Forecasting
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Comparing variable selection techniques for linear regression: LASSO and Autometrics
Epprecht, Camila, (2013)
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Comparing variable selection techniques for linear regression: LASSO and Autometrics
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Estimation of k-factor GIGARCH process : a Monte Carlo study.
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