Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
type: Item
instance of: scholarly article
title: Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling
zbMATH Open document ID: 1353.62076
author: Yuehan Yang
author: Lan Wu
published in: Journal of Statistical Planning and Inference
publication date: 2016-04-22T00:00:00Z
Mathematics Subject Classification ID: 62J07
Mathematics Subject Classification ID: 62G08
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 6572461
zbMATH Keywords: nonnegative adaptive Lasso
zbMATH Keywords: multiplicative updates
zbMATH Keywords: index tracking
zbMATH Keywords: variable selection consistency
zbMATH Keywords: asymptotic unbiasedness
zbMATH Keywords: asymptotic normality
MaRDI profile type: Publication
full work available at URL: j.jspi.2016.01.011
OpenAlex ID: W2276809835
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DOI: 10.1016/J.JSPI.2016.01.011
description: scientific article; zbMATH DE number 6572461