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Methods of Hyperparameter Estimation in Time-Varying Regression Models with Application to Dynamic Style Analysis of Investment Portfolios.
Olga Krasotkina
Vadim Mottl
Michael Markov
Elena Chernousova
Dmitry Malakhov
Published in:
MLDM (2017)
Keyphrases
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regression model
regression methods
linear regression
regression trees
parameter estimation
high dimensional data
logistic regression
cross validation