Yang Feng

New York University (NYU) - School of Global Public Health

United States

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On the Sparsity of Mallows’ Model Averaging Estimator

Number of pages: 12 Posted: 25 Jul 2019 Last Revised: 29 Jul 2019
Yang Feng, Qingfeng Liu and Ryo Okui
New York University (NYU) - School of Global Public Health, Otaru University of Commerce - Department of Economics and Seoul National University
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Abstract:

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sparsity, model averaging, $L_1$ penalty, coordinate-wise descent algorithm