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Showing 1 to 2 of 2 for “"adaptive group LASSO"”.
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Semiparametric Characteristics-based Models of Asset Returns
… unknown functions, they are solved by LASSO-style selection model and power enhanced hypothesis tests. The details of the three chapters are summarized below: Specification LASSO and an Application in Financial Markets This chapter proposes the method of Specification-LASSO in a …