2 papers
econ.EM2017
Estimation of Graphical Models using the Norm
Khai X. Chiong, Hyungsik Roger Moon
Gaussian graphical models are recently used in economics to obtain networks of dependence among agents. A widely-used estimator is the Graphical Lasso (GLASSO), which amounts to a…
stat.ML2016
Random Projection Estimation of Discrete-Choice Models with Large Choice Sets
Khai X. Chiong, Matthew Shum
We introduce sparse random projection, an important dimension-reduction tool from machine learning, for the estimation of discrete-choice models with high-dimensional choice sets.…