Sven Dong
Sven Dong
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Adaptive analysis of the heteroscedastic multivariate regression modeling
In this paper, we propose a novel method for the multivariate regression model, called multivariate weighted lasso (MWL). Numerical simulations and financial applications are conducted using the proposed and other existing methods. The results indicate that the proposed method performs well in both variable selection and coefficient estimation.
Xinyu Dong1∗
,
Ziyi Lin1∗
,
Ziyi Cai1
,
Yuehan Yang1†
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