The Doubly Adaptive LASSO for Vector Autoregressive Models

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

zbMATH Keywords

asymptotic normalityVARselection consistencyoracle propertyLassoadaptive Lassovector autoregressive processesestimation consistencydoubly adaptive LassoPLAC-weighted adaptive Lassoteacher-student dualVAR time series

Mathematics Subject Classification ID

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)

Related Items (2)

Time series modeling and forecasting by mathematical programming ⋮ Multi-task sparse identification for closed-loop systems with general observation sequences

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