Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components? (Q299225)
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scientific article; zbMATH DE number 6596371
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| English | Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components? |
scientific article; zbMATH DE number 6596371 |
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Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components? (English)
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22 June 2016
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Bayesian shrinkage
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Bayesian VAR
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ridge regression
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Lasso regression
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principal components
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large cross-sections
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0.8538050055503845
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0.8120573163032532
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0.8005841970443726
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0.7968811988830566
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