Regularized multivariate regression models with skew-\(t\) error distributions
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Publication:2448807
DOI10.1016/j.jspi.2014.02.001zbMath1285.62073MaRDI QIDQ2448807
Mohsen Pourahmadi, Mehdi Maadooliat, Lianfu Chen
Publication date: 5 May 2014
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2014.02.001
cross-validation; likelihood function; ECM algorithm; penalty; multivariate skew-\(t\); lasso regression
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