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Composite Quantile Regression for the Single-Index Model

Fan, Yan; Härdle, Wolfgang Karl; Wang, Weining; Zhu, Lixing - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a...

Persistent link: https://www.econbiz.de/10010609988

TENET: Tail-Event driven NETwork risk

Härdle, Wolfgang Karl; Sirotko-Sibirskaya, Natalia; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...

Persistent link: https://www.econbiz.de/10011075765

Reverse Engineering Galactose Regulation in Yeast through Model Selection

Thorsson, Vesteinn; Hörnquist, Michael; Siegel, Andrew; … - In: Statistical Applications in Genetics and Molecular Biology 4 (2007) 1, pp. 28-28

shrinkage via the Lasso. …

Persistent link: https://www.econbiz.de/10005459170

A LASSO-penalized BIC for mixture model selection

Bhattacharya, Sakyajit; McNicholas, Paul - In: Advances in Data Analysis and Classification 8 (2014) 1, pp. 45-61

this paper, a LASSO-penalized BIC (LPBIC) is introduced to overcome this problem. This approach is illustrated based on …

Persistent link: https://www.econbiz.de/10010846123

A Comparative Study of the Lasso-type and Heuristic Model Selection Methods

Savin, Ivan - In: Journal of Economics and Statistics (Jahrbuecher fuer … 233 (2013) 4, pp. 526-549

This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and heuristic … subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In particular …, inconsistent results are obtained for pairwise highly correlated predictors. An alternative to the Lasso is constituted by model …

Persistent link: https://www.econbiz.de/10010907957

Variable and boundary selection for functional data via multiclass logistic regression modeling

Matsui, Hidetoshi - In: Computational Statistics & Data Analysis 78 (2014) C, pp. 176-185

Penalties with an ℓ1 norm provide solutions in which some coefficients are exactly zero and can be used for selecting variables in regression settings. When applied to the logistic regression model, they also can be used to select variables which affect classification. We focus on the form of...

Persistent link: https://www.econbiz.de/10011056462

Comparing variable selection techniques for linear regression: LASSO and Autometrics

Epprecht, Camila; Guegan, Dominique; Veiga, Álvaro - HAL - 2013

(automatic general-to-specific selection) and LASSO (ℓ1-norm regularization). In a simulation study, we show the performance of …

Persistent link: https://www.econbiz.de/10011025644

Lasso-type and Heuristic Strategies in Model Selection and Forecasting

Savin, Ivan; Winker, Peter - Wirtschaftswissenschaftliche Fakultät, … - 2012

popular approaches in this research field is given by Lasso-type methods. An alternative approach is based on information … criteria. In contrast to the Lasso, these methods also work well in the case of highly correlated predictors. However, this …

Persistent link: https://www.econbiz.de/10010580995

Confidence sets based on penalized maximum likelihood estimators

Pötscher, Benedikt M.; Schneider, Ulrike - Volkswirtschaftliche Fakultät, … - 2008

LASSO, adaptive LASSO, and hard-thresholding are analyzed. It is shown that symmetric intervals are the shortest. The length … based on the adaptive LASSO, which is larger than the length of the shortest interval based on the LASSO, which in turn is …

Persistent link: https://www.econbiz.de/10005026624

A comparative study of the Lasso-type and heuristic model selection methods

Savin, Ivan - COMISEF - 2010

This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and heuristic … subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In particular …, inconsistent results are obtained for pairwise strongly correlated predictors. An alternative to the Lasso is constituted by model …

Persistent link: https://www.econbiz.de/10008483960