Max-linear regression models with regularization

DOI10.1016/j.jeconom.2020.07.017zbMath1471.62460OpenAlexW3046239586MaRDI QIDQ2658805

Qiurong Cui, Zhengjun Zhang, Yuqing Xu, Vincent M. K. Chan

Publication date: 24 March 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.017

zbMATH Keywords

regularizationEM algorithmeconometric modelbusiness statisticsmax-linear regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70)

Related Items (1)

Editorial for the special issue on financial econometrics in the age of the digital economy

Uses Software

• OSCAR
• KernSmooth

Cites Work

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