Lasso-based Variable Selection of ARMA Models
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Publication:4986337
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20)
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