Exterkate, Peter; Groenen, Patrick J. F.; Heij, Christiaan - 2011
This paper puts forward kernel ridge regression as an approach for forecasting with many predictors that are related … nonlinearly to the target variable. In kernel ridge regression, the observed predictor variables are mapped nonlinearly into a … high-dimensional space, where estimation of the predictive regression model is based on a shrinkage estimator to avoid …