Search Results - subject:"sparse regression"

Fan, Jianqing; Masini, Ricardo; Medeiros, Marcelo C. - 2021

includes both factor regression and sparse regression as specific models but also significantly weakens the cross … asymptotic theory for the factoraugmented sparse regression model and demonstrated the validity of the multiplier bootstrap for …

Persistent link: https://www.econbiz.de/10012817071

Bridging factor and sparse models

Fan, Jianqing; Masini, Ricardo; Medeiros, Marcelo C. - 2021

Persistent link: https://www.econbiz.de/10012435974

A principal component-guided sparse regression approach for the determination of bitcoin returns

Panagiōtidēs, Theodōros; Stengos, Thanasēs; … - In: Journal of Risk and Financial Management 13 (2020) 2, pp. 1-10

observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy …

Persistent link: https://www.econbiz.de/10012611251

A principal component-guided sparse regression approach for the determination of bitcoin returns

Panagiōtidēs, Theodōros; Stengos, Thanasēs; … - In: Journal of risk and financial management : JRFM 13 (2020) 2/33, pp. 1-10

observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy …

Persistent link: https://www.econbiz.de/10012173752

A principal component-guided sparse regression approach for the determination of bitcoin returns

Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2020

Persistent link: https://www.econbiz.de/10012152311

Inference in additively separable models with a high-dimensional set of conditioning variables

Kozbur, Damian - 2018

This paper studies nonparametric series estimation and inference for the effect of a single variable of interest x on an outcome y in the presence of potentially high-dimensional conditioning variables z. The context is an additively separable model E[y

Persistent link: https://www.econbiz.de/10011969195

Algorithms for multiclass classification and regularized regression

Burg, Gerrit Jan Johannes van den - 2018

Persistent link: https://www.econbiz.de/10011863864

Inference in additively separable models with a high-dimensional set of conditioning variables

Kozbur, Damian - 2018 - This version: April 2018

Persistent link: https://www.econbiz.de/10011824426

Inference in high dimensional panel models with an application to gun control

Belloni, Alexandre; Chernozhukov, Victor; Hansen, Christian - 2014

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size. To make informative estimation and inference feasible,...

Persistent link: https://www.econbiz.de/10011445705

Inference in high dimensional panel models with an application to gun control

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2014 - This version is of November 24, 2014

Persistent link: https://www.econbiz.de/10010459263