\(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors (Q898600): Difference between revisions

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Latest revision as of 05:58, 11 July 2024

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\(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
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    \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors (English)
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    18 December 2015
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    sparse models
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    shrinkage
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    LASSO
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    AdaLASSO
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    time series
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    forecasting
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    GARCH
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