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...
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| Format: | Revue |
| Langue: | English |
| Publié: |
Washington, D.C. :
International Monetary Fund,
2017.
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| Collection: | IMF Working Papers; Working Paper ;
No. 2017/108 |
| Accès en ligne: | Full text available on IMF |