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11-007/4 - Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression


  • Authors
    Peter Exterkate, Erasmus University Rotterdam; Patrick J.F. Groenen, Erasmus University Rotterdam; Christiaan Heij, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam
  • Publication date
    January 11, 2011
  • Keywords
    High dimensionality, nonlinear forecasting, ridge regression, kernel methods
  • JEL
    C53, C63, E27