Model selection for vector autoregressive processes using broken adaptive ridge

DOI10.1111/STAN.70021MaRDI QIDQ6881148zbMATH OpenFDO

Authors Bing-Zhao Li, Xingzhong Xu

Publication date 18 December 2025

Published in Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

consistent model selectionoracle estimatorsparse coefficient matricesdivergent lag order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

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