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...
| Príomhchruthaitheoir: | |
|---|---|
| Formáid: | IRIS |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Washington, D.C. :
International Monetary Fund,
2017.
|
| Sraith: | IMF Working Papers; Working Paper ;
No. 2017/108 |
| Rochtain ar líne: | Full text available on IMF |