Subset selection for vector autoregressive processes via adaptive Lasso

DOI10.1016/J.SPL.2010.07.013zbMath1202.62122OpenAlexW2036612144MaRDI QIDQ613145

Yunwen Ren, Xin Sheng Zhang

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.07.013

zbMATH Keywords

Bayesian information criterionoracle propertyadaptive Lassovector autoregressive processesHQ criterion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• The Adaptive Lasso and Its Oracle Properties
• Subset selection for vector autoregressive processes using Lasso
• Estimating the dimension of a model
• Asymptotics for Lasso-type estimators.
• Least angle regression. (With discussion)
• On the asymptotics of constrained \(M\)-estimation
• On the adaptive elastic net with a diverging number of parameters

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