Lasso Regressions and Forecasting Models in Applied Stress Testing /
Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have proved robust in other fields for dealing with the curse of dimensionality, a situation often encountered in applied stress testing. Lasso regressions, in particular, are well...
| Autore principale: | |
|---|---|
| Natura: | Periodico |
| Lingua: | English |
| Pubblicazione: |
Washington, D.C. :
International Monetary Fund,
2017.
|
| Serie: | IMF Working Papers; Working Paper ;
No. 2017/108 |
| Accesso online: | Full text available on IMF |