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3:00 pm

Applied Math Talk: Variable Selection via Arbitrary Rectangle-Range Generalized Elastic Net given by Yujia Ding (CGU)

September 21, 2020 @ 3:00 pm - 4:00 pm
Emmy Noether Room, Millikan 1021, Pomona College, 610 N. College Ave.
Claremont, California 91711
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We propose a regularization and variable selection method, named arbitrary rectangle-range generalized elastic net (ARGEN). It can be applied in high dimensional sparse linear regression models. We propose an algorithm to solve ARGEN; it is an extension of multiplicative updates. Multiple simulation studies and a real-world application in the stock market show that ARGEN applies […]

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