We show that the homotopy algorithm of Osborne, Presnell, and Turlach (2000), which has proved such an effective optimal path following method for implementing Tibshirani's "lasso" for variable ...

The least absolute shrinkage and selection operator ('lasso') has been widely used in regression shrinkage and selection. We extend its application to the regression model with autoregressive errors.

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have ...