Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports

DOI10.1007/978-3-030-77094-5_44MaRDI QIDQ2086244zbMATH OpenOpenAlexFDO

Authors Pham Hoang Uyen, Vo Thi Le Uyen, Le Thanh Hoa, Trinh Quoc Trung

Publication date 25 October 2022

Full work available at URL https://doi.org/10.1007/978-3-030-77094-5_44

zbMATH Keywords

autoregression modelGARCH modelLasso regressionOLS regressionstationary

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A survey of cross-validation procedures for model selection
• Concentration inequalities of the cross-validation estimator for empirical risk minimizer
• Cross-validation for selecting a model selection procedure
• GARCH models. Structure, statistical inference and financial applications
• High dimensional covariance matrix estimation using a factor model
• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 6438182 (Why is no real title available?)
• Machine learning. A probabilistic perspective
• Nonconcave penalized likelihood with a diverging number of parameters.
• On the asymptotic properties of the group lasso estimator for linear models
• Optimality of training/test size and resampling effectiveness in cross-validation
• PMTK
• The Adaptive Lasso and Its Oracle Properties

Cited in

(1)

• The determinants of planned retirement age of informal worker in Chiang Mai province, Thailand

Describes a project that uses

Uses Software

• PMTK
• ElemStatLearn

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