Sparse high-dimensional models in economics

Jianqing Fan Jinchi Lv Lei Qi

History and Overview mathscidoc:1912.43288

3, (1), 291-317, 2011.9
This article reviews the literature on sparse high-dimensional models and discusses some applications in economics and finance. Recent developments in theory, methods, and implementations in penalized least-squares and penalized likelihood methods are highlighted. These variable selection methods are effective in sparse high-dimensional modeling. The limits of dimensionality that regularization methods can handle, the role of penalty functions, and their statistical properties are detailed. Some recent advances in sparse ultra-high-dimensional modeling are also briefly discussed.
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  title={Sparse high-dimensional models in economics},
  author={Jianqing Fan, Jinchi Lv, and Lei Qi},
Jianqing Fan, Jinchi Lv, and Lei Qi. Sparse high-dimensional models in economics. 2011. Vol. 3. pp.291-317.
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