The LASSO method for bilinear time series models

DOI10.1080/03610918.2014.915036zbMATH Open1342.62152OpenAlexW2293652724MaRDI QIDQ3178511FDOQ3178511

Lixiang Tan, Lihong Wang

Publication date: 14 July 2016

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.915036

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zbMATH Keywords

LASSOstepwise regressionleast angle regressiongeneralized cross-validation methodbilinear time series modelGLLS

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Least angle regression. (With discussion)
• Subset selection for vector autoregressive processes using Lasso
• Title not available (Why is that?)
• Bilinear Markovian representation and bilinear models
• A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
• Title not available (Why is that?)
• Title not available (Why is that?)
• DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)
• On the first-order bilinear time series model
• Subset ARMA selection via the adaptive Lasso
• On the selection of subset bilinear time series models: a genetic algorithm approach

Cited In (2)

• Lag weighted lasso for time series model
• A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION

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