Search Results for author: Michael Vogt

Found 4 papers, 0 papers with code

Multiscale Comparison of Nonparametric Trend Curves

no code implementations22 Sep 2022 Marina Khismatullina, Michael Vogt

Based on our multiscale test, we further develop a clustering algorithm which allows to cluster the observed time series into groups with the same trend.

Clustering Time Series +1

CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects

no code implementations24 Jun 2022 Michael Vogt, Christopher Walsh, Oliver Linton

Models with interactive fixed effects are well studied in the low-dimensional case where the number of parameters to be estimated is small.

Time Series Time Series Analysis

On the Differences between L2-Boosting and the Lasso

no code implementations13 Dec 2018 Michael Vogt

We prove that L2-Boosting lacks a theoretical property which is central to the behaviour of l1-penalized methods such as basis pursuit and the Lasso: Whereas l1-penalized methods are guaranteed to recover the sparse parameter vector in a high-dimensional linear model under an appropriate restricted nullspace property, L2-Boosting is not guaranteed to do so.

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