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Methods of Hyperparameter Estimation in Time-Varying Regression Models with Application to Dynamic Style Analysis of Investment Portfolios.

Olga KrasotkinaVadim MottlMichael MarkovElena ChernousovaDmitry Malakhov
Published in: MLDM (2017)
Keyphrases
  • regression model
  • regression methods
  • linear regression
  • regression trees
  • parameter estimation
  • high dimensional data
  • logistic regression
  • cross validation