Bala Rajaratnam, Steven Roberts, Doug Sparks, Onkar Dalal, Lasso regression: estimation and shrinkage via the limit of Gibbs sampling, Journal of the Royal Statistical Society. Series B (Statistical ...

The group lasso estimator for logistic regression is shown to be statistically consistent even if the number of predictors is much larger than sample size but with sparse true underlying structure. We ...

Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have proved robust in other fields for dealing with the curse of dimensionality, ...