Adaptive Lasso for linear regression models with ARMA-GARCH errors

DOI10.1080/03610918.2015.1096372zbMATH Open1368.62199OpenAlexW2176979681MaRDI QIDQ4976540FDOQ4976540

Authors: Young Joo Yoon, Sooyong Lee, Taewook Lee 

Publication date: 31 July 2017

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

Full work available at URL: https://doi.org/10.1080/03610918.2015.1096372

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zbMATH Keywords

variable selectionpenalized regressionadaptive LassoARMA error modelsARMA-GARCH error models

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Sparsity and Smoothness Via the Fused Lasso
• Adaptive Lasso for Cox's proportional hazards model
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• A Joint Regression Variable and Autoregressive Order Selection Criterion
• Sparsity considerations for dependent variables

Cited In (11)

• Penalized regression models with autoregressive error terms
• Likelihood-based quantile autoregressive distributed lag models and its applications
• Lasso based variable selection of ARMA models
• Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
• Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
• Penalised inference for lagged dependent regression in the presence of autocorrelated residuals
• The Doubly Adaptive LASSO for Vector Autoregressive Models
• Efficient estimation method for generalized ARFIMA models
• Bayesian bridge-randomized penalized quantile regression estimation for linear regression model with AP(q) perturbation
• Bayesian LASSO-Regularized quantile regression for linear regression models with autoregressive errors
• Adaptive R-estimation in a linear regression model with ARMA errors

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