Sparse regression for extreme values

DOI10.1214/21-EJS1937zbMath1493.62421arXiv2007.04441OpenAlexW4205630524MaRDI QIDQ2074318

Genevera I. Allen, Andersen Chang, Minjie Wang

Publication date: 9 February 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.04441

zbMATH Keywords

extreme valueslinear regressionsparse modelinggeneralized normal distributionSubbotin distribution

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items (1)

Subbotin graphical models for extreme value dependencies with applications to functional neuronal connectivity

Cites Work

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