Sparse estimation within Pearson's system, with an application to financial market risk (Q6059475)
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scientific article; zbMATH DE number 7759557
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse estimation within Pearson's system, with an application to financial market risk |
scientific article; zbMATH DE number 7759557 |
Statements
Sparse estimation within Pearson's system, with an application to financial market risk (English)
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2 November 2023
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density estimation
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differential regularization
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parameter cascading
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penalized likelihood
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risk measures
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S\&P 500
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