BOAREN: IMPROVING REGULARIZATION IN LINEAR REGRESSION WITH AN APPLICATION TO INDEX TRACKING
In this paper we introduce the Arbitrary Rectangle-range Elastic Net (AREN): an elastic net with coefficients restricted to some rectangle in , . The AREN method is one of many regularization techniques intended to increase prediction accuracy in linear regression models by shrinking the magnitude (...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Tuwhera Open Access Publisher
2022-05-01
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| Series: | Applied Finance Letters |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/525 |