Elastic net for single index support vector regression model
The single index model (SIM) is a useful regression tool used to alleviate the so-called curse of dimensionality. In this paper, we propose a variable selection technique for the SIM by combining the estimation method with the Elastic Net penalized method to get sparse estimation of the index parame...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Academy of Economic Studies
2017
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| Online Access: | http://psasir.upm.edu.my/id/eprint/14233/1/Elastic%20net%20for%20single%20index%20support%20vector%20regression%20model.pdf |
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