NOMAD unifies shrinkage and thresholding estimation by minimizing a data-driven approximate risk criterion derived via Stein's identity and Tweedie's formula, recovering James-Stein and lasso as special cases.
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Pith papers citing it
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A consistent variable selection procedure for GARCH-X models is introduced via multiple Wald tests controlled by Benjamini-Yekutieli FDR, with asymptotic consistency proven and validated on simulations and S&P 500 data.
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Approximate Risk Minimization Over Shrinking-Thresholding Rules in Normal Mean Estimation
NOMAD unifies shrinkage and thresholding estimation by minimizing a data-driven approximate risk criterion derived via Stein's identity and Tweedie's formula, recovering James-Stein and lasso as special cases.
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Consistent Variable Selection for GARCH-X Models
A consistent variable selection procedure for GARCH-X models is introduced via multiple Wald tests controlled by Benjamini-Yekutieli FDR, with asymptotic consistency proven and validated on simulations and S&P 500 data.