Lag weighted lasso for time series model

DOI10.1007/s00180-012-0313-5zbMath1305.65067OpenAlexW1968550208MaRDI QIDQ2255836

Heewon Park, Fumitake Sakaori

Publication date: 18 February 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-012-0313-5

zbMATH Keywords

forecast accuracyadaptive lassotime series modellag effecttrue model selection

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (3)

Principal component selection via adaptive regularization method and generalized information criterion ⋮ The Doubly Adaptive LASSO for Vector Autoregressive Models ⋮ Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• A note on adaptive group Lasso
• Least angle regression. (With discussion)
• Revisiting distributed lag models through a Bayesian perspective
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• On the Non-Negative Garrotte Estimator
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