Nonnegative LAD-LASSO and Application in index tracking
首发时间:2022-11-07
Abstract:In this paper,we combine LAD-LASSO estimation and nonnegative constraint estimation,to propose a robust estimation which can do parameter estimation and variable selection in non negative problem.Compared with LAD-LASSO, he can better handle some non negative problems in economy. And compared with non negative estimation,it can do variable selection.With easily estimated tuning parameters,the non negative enjoys oracle property.Furthermore,we propose a non negative coordinate descent algorithm and do some data simulation. We also applied the model to stock index tracking and compared with non negative LASSO.
keywords: Application statistics, Nonnegative LADLASSO, Robust estimation, Index tracking, Variable selection
点击查看论文中文信息
非负LAD-LASSO及其在指数跟踪中的应用
摘要:本文将LAD-LASSO估计与非负约束估计相结合,提出了一种稳健估计,它可以在非负问题中进行参数估计和变量选择。与LAD-LASSO相比,它能更好地处理经济中的一些非负问题。与非负估计相比,它可以进行变量选择。通过简单的估计参数调整,该模型具有oracle属性。此外,我们提出了一种非负坐标下降算法,并进行了数据仿真。我们还将该模型应用于股票指数跟踪,并与非负LASSO进行了比较。
基金:
引用
No.****
动态公开评议
共计0人参与
勘误表
非负LAD-LASSO及其在指数跟踪中的应用
评论
全部评论0/1000