Nonnegative-Lasso and application in index tracking
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Cites work
- A unified framework for high-dimensional analysis of M-estimators with decomposable regularizers
- scientific article; zbMATH DE number 5957408 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Least angle regression. (With discussion)
- Model Selection and Estimation in Regression with Grouped Variables
- Multiplicative Updates for Nonnegative Quadratic Programming
- Regression coefficient and autoregressive order shrinkage and selection via the lasso
- Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
- Simultaneous analysis of Lasso and Dantzig selector
- Sup-norm convergence rate and sign concentration property of Lasso and Dantzig estimators
- The Adaptive Lasso and Its Oracle Properties
- The composite absolute penalties family for grouped and hierarchical variable selection
Cited in
(47)- Model selection consistency of Lasso for empirical data
- \(l_1\) regularized multiplicative iterative path algorithm for non-negative generalized linear models
- Improved distributed particle filters for tracking in a wireless sensor network
- A retail store SKU promotions optimization model for category multi-period profit maximization
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
- High-dimensional sign-constrained feature selection and grouping
- Solving nonnegative sparsity-constrained optimization via DC quadratic-piecewise-linear approximations
- Nonnegative estimation and variable selection under minimax concave penalty for sparse high-dimensional linear regression models
- Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures
- Penalized and constrained LAD estimation in fixed and high dimension
- Sparse Laplacian shrinkage with the graphical Lasso estimator for regression problems
- Cardinality-constrained risk parity portfolios
- Nonparametric estimation of the random coefficients model: an elastic net approach
- Non-negative moment fitting quadrature rules for fictitious domain methods
- Nonnegative elastic net and application in index tracking
- An integrated precision matrix estimation for multivariate regression problems
- Lasso regression in sparse linear model with \(\varphi\)-mixing errors
- High-dimensional sparse portfolio selection with nonnegative constraint
- Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
- Nonnegative sparse group Lasso with an application in financial index tracking
- Algorithms for Fitting the Constrained Lasso
- A non-parametric index of tracking
- An index tracking model with stratified sampling and optimal allocation
- Rates of convergence of the adaptive elastic net and the post-selection procedure in ultra-high dimensional sparse models
- Nonnegative estimation and variable selection via adaptive elastic-net for high-dimensional data
- Efficient sparse portfolios based on composite quantile regression for high-dimensional index tracking
- High-dimensional index tracking based on the adaptive elastic net
- Multi-class heterogeneous domain adaptation
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- One-step sparse estimates in the reverse penalty for high-dimensional correlated data
- Topological techniques in model selection
- Risk-allocation-based index tracking
- Variable selection and regularization via arbitrary rectangle-range generalized elastic net
- A partially inertial customized Douglas-Rachford splitting method for a class of structured optimization problems
- Time-weighted nonnegative bridge index-tracking model and its application
- Nonnegative group bridge and application in financial index tracking
- Regularized distributionally robust optimization with application to the index tracking problem
- Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints
- View selection in multi-view stacking: choosing the meta-learner
- Coordinate gradient descent algorithm in adaptive LASSO for pure ARCH and pure GARCH models
- A unified consensus-based parallel algorithm for high-dimensional regression with combined regularizations
- Combining random forest and multicollinearity modeling for index tracking
- Robust sparse portfolios for index tracking based on M-estimation
- Joint estimation of transfer learning on time series data
- Nonnegative group Lasso and application in index tracking
- Robust variable selection procedure with range constraints on the coefficient
- Asymmetric Horseshoe+ prior for high dimensional quantile regression with variational Bayes
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