Lasso–type and Heuristic Strategies in Model Selection and Forecasting

DOI10.1007/978-3-642-30278-7_14MaRDI QIDQ2829651zbMATH OpenOpenAlexFDO

Authors Ivan Savin, Peter Winker

Publication date 8 November 2016

Published in Towards Advanced Data Analysis by Combining Soft Computing and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-30278-7_14

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical ranking and selection procedures (62F07) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A Statistical View of Some Chemometrics Regression Tools
• Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
• Forecasting economic time series using targeted predictors
• Identification of multivariate AR-models by threshold accepting
• Lasso-type recovery of sparse representations for high-dimensional data
• Least angle regression. (With discussion)
• Recovering Sparse Signals With a Certain Family of Nonconvex Penalties and DC Programming
• Regularization and Variable Selection Via the Elastic Net
• The Adaptive Lasso and Its Oracle Properties
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).

Cited in

(1)

• Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and autometrics

Describes a project that uses

Uses Software

• ElemStatLearn
• PcGets

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