Estimation of stationary autoregressive models with the Bayesian LASSO (Q5397970): Difference between revisions

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+https://doi.org/10.1111/jtsa.12027
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+W2119693067
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+A new look at the statistical model identification
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+Bayesian lasso regression
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+Subset selection for vector autoregressive processes using Lasso
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+Recursive maximum likelihood estimation of autoregressive processes
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+On Information and Sufficiency
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+Penalized regression, standard errors, and Bayesian Lassos
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+Partial autocorrelation parameterization for subset autoregression
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+The Bayesian Lasso
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+The Stationary Bootstrap
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+Estimating the Order of an Autoregressive Model Using Normalized Maximum Likelihood
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