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pro vyhledávání: '"Chiong, Khai X."'
In this paper, we investigate seemingly unrelated regression (SUR) models that allow the number of equations (N) to be large, and to be comparable to the number of the observations in each equation (T). It is well known in the literature that the con
Externí odkaz:
http://arxiv.org/abs/1811.05567
Autor:
Chiong, Khai X., Moon, Hyungsik Roger
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 maximum likelihood estimation regularized using the $L_{1,1}$ matrix n
Externí odkaz:
http://arxiv.org/abs/1709.10038
Autor:
Chiong, Khai X., Shum, Matthew
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. Initially, high-dimensional data are compressed into a lower-dimension
Externí odkaz:
http://arxiv.org/abs/1604.06036