Sequential Learning of Regression Models by Penalized Estimation

Wessel N. van Wieringen & Harald Binder
When data arrive in a sequence of two or more datasets, modeling on the most recent dataset should take previous datasets into account. We specifically investigate a strategy for regression modeling when parameter estimates from previous data can be used as anchoring points, yet may not be available for all parameters, thus, covariance information cannot be reused. A procedure that updates through targeted penalized estimation, which shrinks the estimator toward a nonzero value, is presented....
1 citation reported since publication in 2022.
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