The Doubly Adaptive LASSO for Vector Autoregressive Models (Q4976476): Difference between revisions

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Latest revision as of 05:26, 14 July 2024

scientific article; zbMATH DE number 6754882
Language Label Description Also known as
English
The Doubly Adaptive LASSO for Vector Autoregressive Models
scientific article; zbMATH DE number 6754882

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    The Doubly Adaptive LASSO for Vector Autoregressive Models (English)
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    31 July 2017
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    adaptive Lasso
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    asymptotic normality
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    estimation consistency
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    Lasso
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    oracle property
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    doubly adaptive Lasso
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    PLAC-weighted adaptive Lasso
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    selection consistency
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    VAR
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    VAR time series
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    vector autoregressive processes
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    teacher-student dual
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