Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components? (Q299225): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2008.08.011
@@ Property / DOI: 10.1016/j.jeconom.2008.08.011 / rank @@
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+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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+H25
@@ Property / Mathematics Subject Classification ID: 62H25 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+J07
@@ Property / Mathematics Subject Classification ID: 62J07 / rank @@
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+B84
@@ Property / Mathematics Subject Classification ID: 91B84 / rank @@
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+6596371
@@ Property / zbMATH DE Number: 6596371 / rank @@
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@@ Property / zbMATH Keywords @@
+Bayesian shrinkage
@@ Property / zbMATH Keywords: Bayesian shrinkage / rank @@
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@@ Property / zbMATH Keywords @@
+Bayesian VAR
@@ Property / zbMATH Keywords: Bayesian VAR / rank @@
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@@ Property / zbMATH Keywords @@
+ridge regression
@@ Property / zbMATH Keywords: ridge regression / rank @@
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@@ Property / zbMATH Keywords @@
+Lasso regression
@@ Property / zbMATH Keywords: Lasso regression / rank @@
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@@ Property / zbMATH Keywords @@
+principal components
@@ Property / zbMATH Keywords: principal components / rank @@
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@@ Property / zbMATH Keywords @@
+large cross-sections
@@ Property / zbMATH Keywords: large cross-sections / rank @@
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+https://doi.org/10.1016/j.jeconom.2008.08.011
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+W3121553976
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@@ Property / cites work @@
+Inferential Theory for Factor Models of Large Dimensions
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+Forecasting Using Principal Components From a Large Number of Predictors
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+Q4864293
@@ Property / cites work: Q4864293 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2008.08.011
@@ Property / DOI: 10.1016/J.JECONOM.2008.08.011 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:299225