Sparse partial least squares regression for on-line variable selection with multivariate data streams

@article{McWilliams2010SparsePL,
  title={Sparse partial least squares regression for on-line variable selection with multivariate data streams},
  author={Brian McWilliams and Giovanni Montana},
  journal={Statistical Analysis and Data Mining},
  year={2010},
  volume={3},
  pages={170-193}
}
Data streams arise in several domains. For instance, in computational finance, several statistical applications revolve around the real-time discovery of associations between a very large number of co-evolving data feeds representing asset prices. The problem we tackle in this paper consists of learning a linear regression function from multivariate input and output streaming data in an incremental fashion while also performing dimensionality reduction and variable selection. When input and… CONTINUE READING
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