30 citations · 48 across the 13 of their papers we have counts for
4 papers · 1 filter
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…
Consistency of Generalized Dynamic Principal Components in Dynamic Factor Models
Ezequiel Smucler
We study the theoretical properties of the generalized dynamic principal components introduced in Peña and Yohai (2016). In particular, we prove that when the data follows a dynami…
Asymptotic theory for maximum likelihood estimates in reduced-rank multivariate generalised linear models
Efstathia Bura, Sabrina Duarte, Liliana Forzani +2
Reduced-rank regression is a dimensionality reduction method with many applications. The asymptotic theory for reduced rank estimators of parameter matrices in multivariate linear…
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…