Shrinkage strategies in some multiple multi-factor dynamical systems
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Publication:4921830
DOI10.1051/ps/2010015zbMath1302.62184OpenAlexW2096844610MaRDI QIDQ4921830
Publication date: 14 May 2013
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/ps/2010015
Ridge regression; shrinkage estimators (Lasso) (62J07) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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