Auflistung LIF-SAFE Working Papers nach Autor "Bernardi, Mauro"
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High-Dimensional Sparse Financial Networks through a Regularised Regression Model
Bernardi, Mauro; Costola, Michele (2019-02-12)"We propose a shrinkage and selection methodology specifically designed for network inference using high dimensional data through a regularised linear regression model with Spike-and-Slab prior on the parameters. The ...