Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes (Q1659166)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes |
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Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes (English)
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15 August 2018
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high-dimensional time series
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Lasso
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autoregressive process
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conditional heteroscedasticity
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volatility
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AR-ARCH
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