Time-varying Lasso
From MaRDI portal
Publication:1787675
DOI10.1016/j.econlet.2018.04.029zbMath1401.62115MaRDI QIDQ1787675
Filip Zikes, George Kapetanios
Publication date: 5 October 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://kclpure.kcl.ac.uk/portal/en/publications/timevarying-lasso(09ae7a40-20cd-44c6-8804-4323e5058cd3).html
62P20: Applications of statistics to economics
62J07: Ridge regression; shrinkage estimators (Lasso)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- A unified approach to model selection and sparse recovery using regularized least squares
- Statistics for high-dimensional data. Methods, theory and applications.
- Asymptotics for Lasso-type estimators.
- Least angle regression. (With discussion)
- Simultaneous analysis of Lasso and Dantzig selector
- Inference on stochastic time-varying coefficient models
- Regularization of Wavelet Approximations
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
- Regularization and Variable Selection Via the Elastic Net
- The Lasso for High Dimensional Regression with a Possible Change Point