Model selection for vector autoregressive processes via adaptive lasso (Q2859291)
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scientific article; zbMATH DE number 6223421
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| English | Model selection for vector autoregressive processes via adaptive lasso |
scientific article; zbMATH DE number 6223421 |
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Model Selection for Vector Autoregressive Processes via Adaptive Lasso (English)
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7 November 2013
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adaptive lasso
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Bayesian information criterion
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least angle regression algorithm
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oracle property
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order selection
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subset selection
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vector autoregressive models
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0.9389792084693908
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0.8943896889686584
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0.8841689229011536
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0.8561996221542358
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