Search Results - subject:"shrinkage methods"

Understanding the Impact of Weights Constraints in Portfolio Theory

Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2010

In this article, we analyze the impact of weights constraints in portfolio theory using the seminal work of Jagannathan and Ma (2003). They show that solving the global minimum variance portfolio problem with some constraints on weights is equivalent to use a shrinkage estimate of the covariance...

Persistent link: https://www.econbiz.de/10009493275

Forecasting national activity using lots of international predictors: an application to New Zealand

Eickmeier, Sandra; Ng, Tim - 2009

, an archetypal small open economy. We apply "data-rich" factor and shrinkage methods to tackle the problem of efficiently … forecast horizons. The forecasting performance achievable with the data-rich methods differs widely, with shrinkage methods and …

Persistent link: https://www.econbiz.de/10010298758

Forecasting national activity using lots of international predictors: an application to New Zealand

Eickmeier, Sandra; Ng, Tim - Deutsche Bundesbank - 2009

Persistent link: https://www.econbiz.de/10005083140

Sparse and efficient estimation for partial spline models with increasing dimension

Cheng, Guang; Zhang, Hao; Shang, Zuofeng - In: Annals of the Institute of Statistical Mathematics 67 (2015) 1, pp. 93-127

We consider model selection and estimation for partial spline models and propose a new regularization method in the context of smoothing splines. The regularization method has a simple yet elegant form, consisting of roughness penalty on the nonparametric component and shrinkage penalty on the...

Persistent link: https://www.econbiz.de/10011152096

Variable Selection in Additive Models by Nonnegative Garrote

Cantoni, Eva; Flemming, Joanna Mills; Ronchetti, Elvezio - Institut d'Economie et Econométrie, Université de Genève - 2006

We adapt Breiman's (1995) nonnegative garrote method to perform variable selection in nonparametric additive models. The technique avoids methods of testing for which no reliable distributional theory is available. In addition it removes the need for a full search of all possible models,...

Persistent link: https://www.econbiz.de/10005687132

Variable selection in additive models by nonnegative garrote

Cantoni, Eva (contributor); … - 2006

-validation; nonnegative garrote; nonparametric regres- sion; shrinkage methods; variable selection. 2 1 Introduction Variable selection is an … processes that either retain or discard one variable and therefore shrinkage methods (e.g. ridge regression in the case of … selection with shrinkage methods have been provided by Yuan and Lin (2006). In this paper, we propose an approach to variable …

Persistent link: https://www.econbiz.de/10003335752

Forecasting national activity using lots of international predictors: An application to New Zealand

Eickmeier, Sandra; Ng, Tim - In: International Journal of Forecasting 27 (2011) 2, pp. 496-511

archetypal small open economy. We apply “data-rich” factor and shrinkage methods to efficiently handle hundreds of predictor … the data-rich methods differs widely, with shrinkage methods and partial least squares performing best in handling the …

Persistent link: https://www.econbiz.de/10011051462

Chapter 4 Forecast Combinations

Timmermann, Allan - 2006

Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex ante best individual forecasting model. Moreover, simple combinations that ignore correlations between forecast errors often dominate more refined combination...

Persistent link: https://www.econbiz.de/10014023702

Forecast Combinations

Timmermann, Allan G - C.E.P.R. Discussion Papers - 2005

Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex-ante best individual forecasting model. Moreover, simple combinations that ignore correlations between forecast errors often dominate more refined combination...

Persistent link: https://www.econbiz.de/10005662254