The Doubly Adaptive LASSO for Vector Autoregressive Models

DOI10.1007/978-1-4939-6568-7_2zbMath1367.62218MaRDI QIDQ4976476

Hao Yu, Reg J. Kulperger, Zi Zhen Liu

Publication date: 31 July 2017

Published in: Advances in Time Series Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-6568-7_2

zbMATH Keywords

asymptotic normality; VAR; selection consistency; oracle property; Lasso; adaptive Lasso; vector autoregressive processes; estimation consistency; doubly adaptive Lasso; PLAC-weighted adaptive Lasso; teacher-student dual; VAR time series

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

62J07: Ridge regression; shrinkage estimators (Lasso)

62E20: Asymptotic distribution theory in statistics

Related Items

Time series modeling and forecasting by mathematical programming, Multi-task sparse identification for closed-loop systems with general observation sequences

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