Shrinkage estimation of high-dimensional factor models with structural instabilities (Q4610822)
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scientific article; zbMATH DE number 7005485
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| English | Shrinkage estimation of high-dimensional factor models with structural instabilities |
scientific article; zbMATH DE number 7005485 |
Statements
Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities (English)
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23 January 2019
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Great Recession
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high-dimensional model
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large data sets
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Lasso
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latent factor model
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model selection
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shrinkage estimation
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structural break
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0.8653895854949951
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0.8449324369430542
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0.8436924815177917
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0.83726966381073
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0.8234063386917114
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