Regularization for stationary multivariate time series (Q2873031): Difference between revisions

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+Regularized estimation of large covariance matrices
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+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+Ideal spatial adaptation by wavelet shrinkage
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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+Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
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+ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
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+A group bridge approach for variable selection
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+Autoregressive process modeling via the Lasso procedure
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+Sparse permutation invariant covariance estimation
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+A full-factor multivariate GARCH model
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+Nonparametric estimation of large covariance matrices of longitudinal data
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+The Adaptive Lasso and Its Oracle Properties
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