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1. Nonnegative LAD-LASSO and Application in index tracking | |||
LIANG Rong-Mei | |||
Mathematics 31 October 2022 | |||
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Abstract:In this paper,we combine LAD-LASSO estimation and nonnegative constraint estimation,to propose a robust estimation which can do parameter estimation and variable selection in non negative problem.Compared with LAD-LASSO, he can better handle some non negative problems in economy. And compared with non negative estimation,it can do variable selection.With easily estimated tuning parameters,the non negative enjoys oracle property.Furthermore,we propose a non negative coordinate descent algorithm and do some data simulation. We also applied the model to stock index tracking and compared with non negative LASSO. | |||
TO cite this article:LIANG Rong-Mei. Nonnegative LAD-LASSO and Application in index tracking[OL].[31 October 2022] http://en.paper.edu.cn/en_releasepaper/content/4758259 |
2. Lower Tail Dependence Copula of Archimedean Copula | |||
Hu Lixia | |||
Mathematics 21 March 2008 | |||
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Abstract:This paper studies the dynamic evolution of the lower tail dependence copula (LTDC) of Archimedean Copula. We also obtain some sufficient conditions to preserve the concordance order under LTDC transformations. Some numerical measurements such as Kendall's $tau$ and lower tail dependence coefficient of LTDC are evaluated as well. | |||
TO cite this article:Hu Lixia . Lower Tail Dependence Copula of Archimedean Copula[OL].[21 March 2008] http://en.paper.edu.cn/en_releasepaper/content/19601 |
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