Diffusion Indexes With Sparse Loadings
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Publication:6616623
DOI10.1080/07350015.2015.1084308zbMATH Open1546.62974MaRDI QIDQ6616623FDOQ6616623
Authors: Johannes Tang Kristensen 
Publication date: 9 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
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- Asymptotics for Lasso-type estimators.
- Least squares after model selection in high-dimensional sparse models
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Sparse principal component analysis via regularized low rank matrix approximation
- To combine forecasts or to combine information?
- Handbook of economic forecasting. Volume 1
- Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean?
- Forecasting using targeted diffusion indexes
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