High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting
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DOI: 10.5705/ss.202018.0044
Abstract: In recent years, extensive research has focused on the `1 penalized least squares (Lasso) estimators of high-dimensional linear regression when the number of covariates p is considerably larger than the sample size n. However, there… read more here.
Keywords: regression; errors covariates; high dimensional; regression dependent ... See more keywords