Sparse High-Dimensional Models in Economics
نویسندگان
چکیده
منابع مشابه
Sparse High Dimensional Models in Economics.
This paper reviews the literature on sparse high dimensional models and discusses some applications in economics and finance. Recent developments of theory, methods, and implementations in penalized least squares and penalized likelihood methods are highlighted. These variable selection methods are proved to be effective in high dimensional sparse modeling. The limits of dimensionality that reg...
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ژورنال
عنوان ژورنال: Annual Review of Economics
سال: 2011
ISSN: 1941-1383,1941-1391
DOI: 10.1146/annurev-economics-061109-080451