On the sparsity of Mallows model averaging estimator
Yang Feng, Qingfeng Liu, Ryo Okui
| Year of publication: |
2020
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|---|---|
| Authors: | Feng, Yang ; Liu, Qingfeng ; Okui, Ryo |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 187.2020, p. 1-5
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| Subject: | Sparsity | Model averaging | L1 penalty | Coordinate-wise descent algorithm | Modellierung | Scientific modelling | Schätzung | Estimation | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference |