A 2-stage elastic net algorithm for estimation of sparse networks with heavy-tailed data

DOI10.1080/00949655.2022.2124992arXiv2108.10583OpenAlexW3194712189MaRDI QIDQ6074169

Emanuele Taufer, Davide Bernardini, Sandra Paterlini

Publication date: 19 September 2023

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.10583

zbMATH Keywords

network estimationheavy-tailed dataelastic net penaltyEuropean banking network

Mathematics Subject Classification ID

Statistics (62-XX)

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