Regularization and variable selection for infinite variance autoregressive models

DOI10.1016/j.jspi.2012.03.014zbMath1253.62065MaRDI QIDQ447619

Yanbiao Xiang, Ganggang Xu, Suojin Wang, Zheng Yan Lin

Publication date: 4 September 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.03.014

zbMATH Keywords

infinite variance; least absolute deviation; adaptive lasso

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Efficient maximum approximated likelihood inference for Tukey's \(g\)-and-\(h\) distribution

Uses Software

• R
• COBS

Cites Work

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