Regularized Extended Skew-Normal Regression

This paper considers the impact of using the regularisation techniques for the analysis of the extended skew-normal distribution. The approach is estimated using a number of techniques and compared to OLS based LASSO and ridge regressions in addition to non- constrained skew-normal regression.

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Year of publication:	2013-11-24
Authors:	Shutes, Karl ; Adcock, Chris
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Skew-normal \| LASSO \| l1 regression

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C1 - Econometric and Statistical Methods: General ; C13 - Estimation ; c46
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011110010