To bag is to prune

DOI10.1515/SNDE-2023-0030MaRDI QIDQ6839084zbMATH OpenFDO

Authors Philippe Goulet Coulombe

Publication date 24 March 2026

Published in Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/SNDE-2023-0030

zbMATH Keywords

greedy optimizationoverfittingrandom foresttuning

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• Least angle regression. (With discussion)
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• Reconciling modern machine-learning practice and the classical bias-variance trade-off
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• The benefits of bagging for forecast models of realized volatility
• The elements of statistical learning. Data mining, inference, and prediction
• The optimal ridge penalty for real-world high-dimensional data can be zero or negative due to the implicit ridge regularization
• Tuning parameters in random forests

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