The Doubly Adaptive LASSO for Vector Autoregressive Models
Publication:4976476
DOI10.1007/978-1-4939-6568-7_2zbMath1367.62218OpenAlexW2560066835MaRDI QIDQ4976476
Hao Yu, Reg J. Kulperger, Zi Zhen Liu
Publication date: 31 July 2017
Published in: Advances in Time Series Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4939-6568-7_2
asymptotic normalityVARselection consistencyoracle propertyLassoadaptive Lassovector autoregressive processesestimation consistencydoubly adaptive LassoPLAC-weighted adaptive Lassoteacher-student dualVAR time series
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20)
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Cites Work
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