30 citations · 48 across the 13 of their papers we have counts for
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stat.ME2017
Split Regularized Regression
Anthony Christidis, Ruben Zamar, Laks V. S. Lakshmanan +1
We propose an approach for fitting linear regression models that splits the set of covariates into groups. The optimal split of the variables into groups and the regularized estima…
stat.ME2017
Forecasting Multiple Time Series with One-Sided Dynamic Principal Components
Daniel Peña, Ezequiel Smucler, Victor J. Yohai
We define one-sided dynamic principal components (ODPC) for time series as linear combinations of the present and past values of the series that minimize the reconstruction mean sq…