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Sparse High Dimensional Models in Economics
This paper reviews the literature on sparse high dimensional models and discusses some applications in economics and finance. Recent developments of theory, methods, and implementations in penalized least squares and penalized likelihood methods are highlighted. These variable selection methods are...
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| Hauptverfasser: | , , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
2011
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| Schlagworte: | |
| Online Zugang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3196636/ https://ncbi.nlm.nih.gov/pubmed/22022635 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1146/annurev-economics-061109-080451 |
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