Browsing Department of Economics / Institutionen för nationalekonomi med statistik by Subject "LASSO"
Now showing items 1-2 of 2
-
Tidying up the factor zoo: Using machine learning to find sparse factor models that predict asset returns.
(2020-07-01)There exist over 300 firm characteristics that provide significant information about average asset return. John Cochrane refers to this as a “factor zoo” and challenges researchers to find the independent characteristics ... -
Variable selection techniques for the Cox proportional hazardsmodel: A comparative study
(2018-03-08)In statistics different models are used to emulate real world processes. Variable selection refers to reduction of the number of parameters in the models in order to increase interpretability and model effectiveness. This ...