Lasso–type and Heuristic Strategies in Model Selection and Forecasting

DOI10.1007/978-3-642-30278-7_14zbMath1348.62208OpenAlexW163690100MaRDI QIDQ2829651

Peter Winker, Ivan Savin

Publication date: 8 November 2016

Published in: Towards Advanced Data Analysis by Combining Soft Computing and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-30278-7_14

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical ranking and selection procedures (62F07)

Uses Software

• PcGets
• ElemStatLearn

Cites Work

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• The Adaptive Lasso and Its Oracle Properties
• Forecasting economic time series using targeted predictors
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• Least angle regression. (With discussion)
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• Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
• Recovering Sparse Signals With a Certain Family of Nonconvex Penalties and DC Programming
• A Statistical View of Some Chemometrics Regression Tools
• Regularization and Variable Selection Via the Elastic Net

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