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