Model Selection for Vector Autoregressive Processes via Adaptive Lasso

DOI10.1080/03610926.2011.611317zbMath1273.62219OpenAlexW2020703916MaRDI QIDQ2859291

Yunwen Ren, Xin Sheng 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

subset selectionBayesian information criterionoracle propertyorder selectionadaptive lassovector autoregressive modelsleast angle regression algorithm

Mathematics Subject Classification ID

Related Items (1)

Lasso for sparse linear regression with exponentially \(\beta\)-mixing errors

Cites Work

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

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