Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes (Q1659166)
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scientific article
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| English | Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes |
scientific article |
Statements
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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0.8321791291236877
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0.7937751412391663
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0.7627015113830566
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0.7549919486045837
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0.7498557567596436
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