I recently stumbled across a series of `Mathematical Challenges' as published by the swissQuant group: here's the latest/current March 2014 challenge. It's about a well-known regularization of a classical (mean-square) regression estimate and some of the problems - numerical challenges - associated to it. In this context I thought it to be worthwile to contrast the proposed LASSO-method with the Regularization Troika introduced in my elements vade mecum.
A friend emailed me: "I recently had a question from somebody I met at
R/Finance about using DFA for something they were doing. Their problem
seems to be univariate, so I grabbed I-DFA out of The Book (see 1) and set up a
little script for them.What a sweet little solution that is. Fast as hell and really powerful."
In this context I'd like to take the opportunity to post a recent student-thesis (industry partner was UBS) entitled "10 Year German Government Bond Yields: Three Month Forecast with Exponential Smoothing and Direct Filter Approach":
You may skip the German blurb and go straight to the main text. The document is `sweaved': results (tables/plots) were obtained by the (R-) code as edited in the document. DFA-code is from 1: sweet, fast and powerful.