Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling (Q274029)
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scientific article; zbMATH DE number 6572461
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| English | Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling |
scientific article; zbMATH DE number 6572461 |
Statements
Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling (English)
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22 April 2016
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nonnegative adaptive Lasso
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multiplicative updates
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index tracking
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variable selection consistency
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asymptotic unbiasedness
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asymptotic normality
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0.8896536231040955
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0.8237253427505493
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0.7920249104499817
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0.7664752006530762
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