The Bayesian nested Lasso for mixed frequency regression models (Q6179127): Difference between revisions

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+Regression models with mixed sampling frequencies
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+State Space Models and MIDAS Regressions
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+Optimal predictive model selection.
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+Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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+Sparse estimation of large covariance matrices via a nested Lasso penalty
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