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Estimation of Graphical Models Using the L₁,₂ Norm
(John Wiley and Sons, 2018-09-14)
Gaussian graphical models are recently used in economics to obtain networks of dependence among agents. A widely used estimator is the graphical least absolute shrinkage and selection operator (GLASSO), which amounts to a ...
Random Projection Estimation of Discrete-Choice Models with Large Choice Sets
We introduce random projection, an important dimension-reduction tool from machine learning, for the estimation of aggregate discrete-choice models with high-dimensional choice sets. Initially, high-dimensional data are ...