Colloquium

Colloquium


Conference on Robust Rank-Based and Nonparametric Methods
April 10 (Fri) 1 p.m.

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

  • Explanatory modeling: the process of building and applying a statistical model that is interpretable; and
  • Predictive modeling: the process of building and applying a statistical model to data in order to predict new or future observations.
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.

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