Max-linear regression models with regularization

DOI10.1016/J.JECONOM.2020.07.017MaRDI QIDQ2658805zbMATH OpenOpenAlexFDO

Authors Qiurong Cui, Yuqing Xu, Zhengjun Zhang, 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

business statisticseconometric modelEM algorithmmax-linear regressionregularization

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(3)

• Editorial for the special issue on financial econometrics in the age of the digital economy
• Regularization after retention in ultrahigh dimensional linear regression models
• Site-specific nitrogen recommendation: fast, accurate, and feasible Bayesian kriging

Describes a project that uses

Uses Software

• OSCAR
• KernSmooth

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