Shrinkage Methods for Predictive Business Analytics
Simon Sheather
Texas A&M University

We shall focus the challenges and issues associated with applying regression methods to big data problems in business. We shall focus on both

We shall follow Arnold Zellner’s advice that the best explanatory models are “sophisticatedly simple”. In particular, we shall consider the performance of shrinkage methods including lasso and elastic net using both real and simulated data sets.