Penalized estimation of threshold auto-regressive models with many components and thresholds
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Publication:2136665
DOI10.1214/22-EJS1982MaRDI QIDQ2136665
Ali Shojaie, Alex Tank, Abolfazl Safikhani, Kunhui Zhang
Publication date: 11 May 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-1/Penalized-estimation-of-threshold-auto-regressive-models-with-many-components/10.1214/22-EJS1982.full
Uses Software
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