Lasso-type and Heuristic Strategies in Model Selection and Forecasting ∗

@inproceedings{Savin2012LassotypeAH,
  title={Lasso-type and Heuristic Strategies in Model Selection and Forecasting ∗},
  author={Ivan Savin and Peter Winker},
  year={2012}
}
Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by Lasso–type methods. An alternative approach is based on… CONTINUE READING