LASSO estimation of threshold autoregressive models
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Cites work
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 947422 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Consistencies and rates of convergence of jump-penalized least squares estimators
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Estimating the number of change-points via Schwarz' criterion
- Estimation and model selection based inference in single and multiple threshold models.
- Group Lasso for structural break time series
- Least angle regression. (With discussion)
- Model Selection and Estimation in Regression with Grouped Variables
- Multiple Change-Point Estimation With a Total Variation Penalty
- Numerical issues in threshold autoregressive modeling of time series
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- On parameter estimation of threshold autoregressive models
- On strict stationarity and ergodicity of a non-linear ARMA model
- On the ergodicity of \(TAR(1)\) processes
- On the least squares estimation of multiple-regime threshold autoregressive models
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- Sample Splitting and Threshold Estimation
- Simultaneous analysis of Lasso and Dantzig selector
- Structural Break Estimation for Nonstationary Time Series Models
- Testing and Modeling Threshold Autoregressive Processes
Cited in
(28)- Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
- Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime
- Estimation of multiple-regime threshold autoregressive models with structural breaks
- Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables
- Group fused Lasso for large factor models with multiple structural breaks
- Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
- Oracle M-estimation for time series models
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- Simulation and application of subsampling for threshold autoregressive moving-average models
- Segment regression model average with multiple threshold variables and multiple structural breaks
- Lasso estimation for spherical autoregressive processes
- Identification of TAR models using recursive estimation
- Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
- Penalized estimation of threshold auto-regressive models with many components and thresholds
- Frontiers in time series and financial econometrics: an overview
- Estimation and Inference for Multi-Kink Quantile Regression
- Generalized threshold latent variable model
- The Doubly Adaptive LASSO for Vector Autoregressive Models
- Multi-threshold proportional hazards model and subgroup identification
- Generalized high-dimensional trace regression via nuclear norm regularization
- Uncertain Autoregressive Model via LASSO Procedure
- Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
- Estimation and model selection based inference in single and multiple threshold models.
- Shrinkage estimation of multiple threshold factor models
- Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
- Time-Varying Autoregression with Low-Rank Tensors
- Multi-Threshold Structural Equation Model
- Numerical issues in threshold autoregressive modeling of time series
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