LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling

Fuente: arXiv

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Bibliographic Details
Main Authors:	Uniejewski, Bartosz, Maciejowska, Katarzyna
Format:	Preprint
Published:	2022
Subjects:	Applications Risk Management Statistical Finance
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2207.04794