Subset selection for vector autoregressive processes using Lasso

DOI10.1016/j.csda.2007.12.004zbMath1359.62296MaRDI QIDQ1023702

Nan-Jung Hsu, Hung-Lin Hung, Ya-Mei Chang

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.12.004

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

Related Items

Estimation of stationary autoregressive models with the Bayesian LASSO, Two-step adaptive model selection for vector autoregressive processes, Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance, Order selection criteria for vector autoregressive models, Subset selection for vector autoregressive processes via adaptive Lasso, A Bayesian approach to sparse dynamic network identification, Model Selection for Vector Autoregressive Processes via Adaptive Lasso, ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES

Uses Software

• PcGets
• FinTS

Cites Work

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