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, ...

We study the asymptotic properties of the adaptive Lasso estimators in sparse, high-dimensional, linear regression models when the number of covariates may increase with the sample size. We consider ...

Sokbae Lee, Myung Hwan Seo, Youngki Shin, The lasso for high dimensional regression with a possible change point, Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 78, ...