Nonnegative group bridge and application in financial index tracking

DOI10.1007/S00362-023-01406-3zbMATH Open1543.6257MaRDI QIDQ6549164

Xin Song, Conan Liu, Yichen Lin, Yonghui Liu, Shuangzhe Liu

Publication date: 3 June 2024

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

algorithmvariable selectionindex trackingnonnegative group bridge

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• A Statistical View of Some Chemometrics Regression Tools
• Model Selection and Estimation in Regression with Grouped Variables

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