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Regularized Extended Skew-Normal Regression

Shutes, Karl and Adcock, Chris (2013): Regularized Extended Skew-Normal Regression.

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Abstract

This paper considers the impact of using the regularisation techniques for the analysis of the extended skew-normal distribution. The approach is estimated using a number of techniques and compared to OLS based LASSO and ridge regressions in addition to non- constrained skew-normal regression.

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