Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models

DOI10.1080/07350015.2015.1052461MaRDI QIDQ6616611zbMATH OpenFDO

Authors Laurent Callot, Mehmet Caner, Anders Bredahl Kock, Juan Andrés Riquelme

Publication date 9 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2015.1052461

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(3)

• Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting
• High dimensional threshold model with a time-varying threshold based on Fourier approximation
• High-dimensional mixed data sampling models with a covariate-dependent threshold

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