Forecasting using random subspace methods
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Publication:1740303
DOI10.1016/j.jeconom.2019.01.009zbMath1452.62692OpenAlexW2508832427MaRDI QIDQ1740303
Publication date: 30 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.econstor.eu/bitstream/10419/149477/1/16073.pdf
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
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- Bagging predictors
- CUR matrix decompositions for improved data analysis
- Complete subset regressions
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- Bayesian Compressed Regression
- Fast monte-carlo algorithms for finding low-rank approximations
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