Lasso2 min read
Cointegrated Regressors: Where Folded Concave Penalties Go Beyond LASSO
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 coefficients of cointegrated regressors and…
By Hongqi Chen, Chengwang Liao, Ziwei Mei, Zhentao ShiarXiv - stat.ML
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Originally published by arXiv - stat.ML on Oct 19, 2026.
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