Dynamic Shrinkage Processes
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Publication:5204364
DOI10.1111/rssb.12325zbMath1428.62397arXiv1707.00763OpenAlexW3101281330MaRDI QIDQ5204364
David Ruppert, David S. Matteson, Daniel R. Kowal
Publication date: 4 December 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.00763
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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