Model selection for generalized linear models with weak factors
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Cites work
- An introduction to generalized linear models
- Approximate factor models with weaker loadings
- Asymptotic Equivalence of Regularization Methods in Thresholded Parameter Space
- Concentration inequalities for empirical processes of linear time series
- Determining the Number of Factors in Approximate Factor Models
- Estimation of Sparsity-Induced Weak Factor Models
- Factor models with local factors -- determining the number of relevant factors
- Factor-Adjusted Regularized Model Selection
- FRED-MD: A Monthly Database for Macroeconomic Research
- High dimensional ordinary least squares projection for screening variables
- High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
- scientific article; zbMATH DE number 5957408 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Inference in Sparsity-Induced Weak Factor Models
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Model selection principles in misspecified models
- Model-Free Feature Screening and FDR Control With Knockoff Features
- Nearly unbiased variable selection under minimax concave penalty
- Nonsparse learning with latent variables
- Principal components estimation and identification of static factors
- Regularization and Variable Selection Via the Elastic Net
- Sequential Scaled Sparse Factor Regression
- SOFAR: Large-Scale Association Network Learning
- Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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