Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes (Q5263975)
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scientific article; zbMATH DE number 6460257
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| English | Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes |
scientific article; zbMATH DE number 6460257 |
Statements
Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes (English)
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20 July 2015
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autoregressive process
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causality
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heavy tails
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penalized maximum likelihood estimation
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oracle properties
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strong consistency
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0.796148955821991
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0.769460916519165
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0.7689431309700012
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0.7569092512130737
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0.7556161880493164
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