Multiple penalized regularization for clusters with varying correlation levels

DOI10.4310/21-SII701MaRDI QIDQ2116979zbMATH OpenFDO

Authors Lisu Wang, Yuehan Yang, Wenjun Cao

Publication date 18 March 2022

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/21-SII701

zbMATH Keywords

clusteringelastic netmulti-level correlationsstructured sparsity

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(4)

• High-dimensional sparse portfolio selection with nonnegative constraint
• A model-free multivariate non-recursive feature elimination for feature selection on high-dimensional complex multiple response data
• Combining random forest and multicollinearity modeling for index tracking
• Joint estimation of transfer learning on time series data

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