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Cointegrated Regressors: Where Folded Concave Penalties Go Beyond LASSO

arXiv:2610.14617v1 Announce Type: cross Abstract: LASSO is one of the most popular regularization methods for high-dimensional regression models. While cointegration is common in practical applications of predictive regressions with many regressors, the convex penalty of LASSO overly suppresses the…

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  1. 2026-10-19 04:00 · arXiv stat.ML
    Cointegrated Regressors: Where Folded Concave Penalties Go Beyond LASSO

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