Lasso based variable selection of ARMA models

DOI10.5705/SS.202017.0500MaRDI QIDQ4986337zbMATHOpenAlexWikidataFDO

Authors Ngai Hang Chan, Shiqing Ling, Chun Yip Yau

Publication date 27 April 2021

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/056d69bd0d342e03a32b0a10d383891f3dfc9d98

zbMATH Keywords

variable selectionARMA modelinformation criteriontuning parameterLasso estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited in

(9)

• Parameter estimation and variable selection via ArctanLASSO
• Autoregressive process modeling via the Lasso procedure
• Automated Estimation of Heavy-Tailed Vector Error Correction Models
• Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
• Adaptive Lasso for linear regression models with ARMA-GARCH errors
• Bootstrapping ARMA time series models after model selection
• Tuning parameter selection for the adaptive LASSO in the autoregressive model
• Oracle model selection for correlated data via residuals
• Exponential squared loss based robust variable selection of AR models

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