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Factor models for asset returns based on transformed factors

Li, Jialiang; Zhang, Wenyang; Kong, Efang - In: Journal of econometrics 207 (2018) 2, pp. 432-448

Persistent link: https://www.econbiz.de/10012116375

Dimension reduction and semiparametric estimation of survival models

Xia, Yingcun; Zhang, Dixin; Xu, Jinfeng - In: Journal of the American Statistical Association : JASA 105 (2010) 489, pp. 278-290

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Shrinkage estimation of the varying coefficient model

Wang, Hansheng; Xia, Yingcun - In: Journal of the American Statistical Association : JASA 104 (2009) 486, pp. 747-757

Persistent link: https://www.econbiz.de/10003885678

Shrinkage Estimation of the Varying Coefficient Model

Wang, Hansheng - 2008

The varying coefficient model is a useful extension of the linear regression model. Nevertheless, how to conduct variable selection for the varying coefficient model in a computationally efficient manner is poorly understood. To solve the problem, we propose here a novel method, which combines...

Persistent link: https://www.econbiz.de/10012722538