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Found 2 papers, 1 papers with code
High-Dimensional Sparse Multivariate Stochastic Volatility Models
Although multivariate stochastic volatility models usually produce more accurate forecasts compared to the MGARCH models, their estimation techniques such as Bayesian MCMC typically suffer from the curse of dimensionality.
Post-selection inference with HSIC-Lasso
Detecting influential features in non-linear and/or high-dimensional data is a challenging and increasingly important task in machine learning.
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