Regularized multivariate regression models with skew-\(t\) error distributions

DOI10.1016/j.jspi.2014.02.001zbMath1285.62073OpenAlexW2116937655MaRDI QIDQ2448807

Mehdi Maadooliat, Lianfu Chen, Mohsen Pourahmadi

Publication date: 5 May 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2014.02.001

zbMATH Keywords

cross-validationlikelihood functionECM algorithmpenaltymultivariate skew-\(t\)lasso regression

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items

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Uses Software

• QUADPACK
• glasso
• sn

Cites Work

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