Elastic Net Model

Reference sources

Reference material used for orientation; read primary and academic sources first when claims conflict.

1. [S1] Reference

   Zou and Hastie (2005) -- introduced the elastic net, proved the grouped selection property, and showed the naive elastic net's double shrinkage problem

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2. [S2] Reference

   Friedman, Hastie, Tibshirani (2010) -- glmnet coordinate descent algorithm making elastic net computationally practical for large-scale problems

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3. [S3] Reference

   Zou and Zhang (2009) -- adaptive elastic net achieving oracle properties under weaker conditions than adaptive LASSO

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4. [S4] Reference

   De Mol, Giannone, Reichlin (2008) -- Bayesian interpretation of elastic net in macro forecasting with many predictors

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5. [S5] Reference

   Gu, Kelly, Xiu (2020) -- empirical horse race showing elastic net competitive with neural networks for asset return prediction

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