Model selection for vector autoregressive processes via adaptive lasso

DOI10.1080/03610926.2011.611317MaRDI QIDQ2859291zbMATH OpenOpenAlexFDO

Authors Yunwen Ren, Xinsheng Zhang

Publication date 7 November 2013

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.611317

zbMATH Keywords

adaptive lassoBayesian information criterionleast angle regression algorithmoracle propertyorder selectionsubset selectionvector autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Estimating the dimension of a model
• Least angle regression. (With discussion)
• Order determination for multivariate autoregressive processes using resampling methods
• Subset selection for vector autoregressive processes using Lasso
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Vector Autoregressive Model-Order Selection From Finite Samples Using Kullback's Symmetric Divergence

Cited in

(17)

• Subset selection for vector autoregressive processes using Lasso
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Model averaging based on leave-subject-out cross-validation for vector autoregressions
• Lasso estimation for spherical autoregressive processes
• Lasso for sparse linear regression with exponentially \(\beta\)-mixing errors
• An adaptive variable selection for nonlinear autoregressive time series model
• On multivariate time series model selection involving many candidate VAR models
• Two-step adaptive model selection for vector autoregressive processes
• scientific article; zbMATH DE number 1179945 (Why is no real title available?)
• Bayesian variable selection in a large vector autoregression for origin-destination traffic flow modelling
• The Doubly Adaptive LASSO for Vector Autoregressive Models
• Adaptive Lasso for vector multiplicative error models
• Tuning parameter selection for the adaptive LASSO in the autoregressive model
• Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
• Subset selection for vector autoregressive processes via adaptive Lasso
• Model selection for vector autoregressive processes using broken adaptive ridge
• An efficient branch-and-bound strategy for subset vector autoregressive model selection

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