Adaptive LASSO estimation for ARDL models with GARCH innovations (Q5864640): Difference between revisions

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+Regularized estimation in sparse high-dimensional time series models
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+Statistics for high-dimensional data. Methods, theory and applications.
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+Oracle inequalities for high dimensional vector autoregressions
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+AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
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+Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
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+ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
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+Autoregressive process modeling via the Lasso procedure
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