Lasso-type penalties for covariate selection and forecasting in time series

DOI10.1002/FOR.2403MaRDI QIDQ4596036zbMATH OpenOpenAlexFDO

Authors Evandro Konzen, Flavio Augusto Ziegelmann

Publication date 8 December 2017

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2403

zbMATH Keywords

adaLassodimensionality of the parameter spacepenaltiesvariable selectionweighted lag adaptive Lasso

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
• Time-varying Lasso
• Lag weighted lasso for time series model
• The Doubly Adaptive LASSO for Vector Autoregressive Models
• Autoregressive process modeling via the Lasso procedure

Cited in

(7)

• Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports
• Penalized averaging of parametric and non-parametric quantile forecasts
• Lag weighted lasso for time series model
• Lasso–type and Heuristic Strategies in Model Selection and Forecasting
• Global variable selection for quantile regression
• Factorial-decay lag adaptive LASSO in high-dimensional ADL models
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

This page was built for publication: Lasso-type penalties for covariate selection and forecasting in time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4596036)