Regularized Extended Skew-Normal Regression

Karl Shutes and Chris Adcock

MPRA Paper from University Library of Munich, Germany

Abstract: This paper considers the impact of using the regularisation techniques for the analysis of the extended skew-normal distribution. The approach is estimated using a number of techniques and compared to OLS based LASSO and ridge regressions in addition to non- constrained skew-normal regression.

Keywords: Skew-normal; LASSO; l1 regression (search for similar items in EconPapers)
JEL-codes: C1 C13 C16 C46 (search for similar items in EconPapers)
Date: 2013-11-24, Revised 2014-09-09
New Economics Papers: this item is included in nep-ecm
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https://mpra.ub.uni-muenchen.de/58445/31/MPRA_paper_58445.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/67643/1/MPRA_paper_67643.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/74961/9/MPRA_paper_74961.pdf revised version (application/pdf)

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