\(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors (Q898600)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors |
scientific article |
Statements
\(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors (English)
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18 December 2015
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sparse models
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shrinkage
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LASSO
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AdaLASSO
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time series
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forecasting
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GARCH
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