The LASSO Risk for Gaussian Matrices.
Mohsen BayatiAndrea MontanariPublished in: IEEE Trans. Inf. Theory (2012)
Keyphrases
- covariance matrices
- risk management
- risk assessment
- least squares
- maximum likelihood
- singular value decomposition
- linear regression
- doubly stochastic
- ridge regression
- risk analysis
- high risk
- gaussian mixture
- gaussian distribution
- covariance matrix
- variable selection
- decision making
- portfolio management
- feature selection
- gaussian mixture model
- cross validation
- risk factors
- decision support system
- evolutionary algorithm
- singular values
- impulse response
- neural network