Optimal Estimation of Brownian Penalized Regression Coefficients

Autor:	Pramanik, Paramahansa, Polansky, Alan M.
Rok vydání:	2021
Předmět:	Statistics - Methodology Mathematics - Optimization and Control Primary: 60H05 Secondary: 81Q30
Druh dokumentu:	Working Paper
Popis:	In this paper we introduce a new methodology to determine an optimal coefficient of penalized functional regression. We assume the dependent, independent variables and the regression coefficients are functions of time and error dynamics follow a stochastic differential equation. First we construct our objective function as a time dependent residual sum of square and then minimize it with respect to regression coefficients subject to different error dynamics such as LASSO, group LASSO, fused LASSO and cubic smoothing spline. Then we use Feynman-type path integral approach to determine a Schr\"odinger-type equation which have the entire information of the system. Using first order conditions with respect to these coefficients give us a closed form solution of them. Comment: 27 pages, 0 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2107.02291 Zobrazit plný text záznamu View this record from Arxiv