On the RODEO Method for Variable Selection

DOI10.1007/978-3-319-02499-8_16MaRDI QIDQ4561912zbMATH OpenOpenAlexFDO

Authors Francesco Giordano, Maria Lucia Parrella

Publication date 13 December 2018

Published in Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02499-8_16

zbMATH Keywords

irrelevant variableoptimal bandwidthrelevance testrelevant covariatesvariable selection procedure

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• Multivariate locally weighted polynomial fitting and partial derivative estimation
• Rodeo: Sparse, greedy nonparametric regression

Cited in

(2)

• Rodeo: Sparse, greedy nonparametric regression
• Local polynomials for variable selection

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