Lasso-based Variable Selection of ARMA Models

DOI10.5705/ss.202017.0500zbMath1464.62347OpenAlexW2954786206WikidataQ128878575 ScholiaQ128878575MaRDI QIDQ4986337

Shiqing Ling, Chun Yip Yau, Ngai Hang Chan

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 selectioninformation criterionARMA modeltuning parameterLasso estimation

Mathematics Subject Classification ID

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

Related Items (2)

Automated Estimation of Heavy-Tailed Vector Error Correction Models ⋮ Exponential squared loss based robust variable selection of AR models

This page was built for publication: Lasso-based Variable Selection of ARMA Models