Lasso based variable selection of ARMA models
DOI10.5705/SS.202017.0500zbMATH Open1464.62347OpenAlexW2954786206WikidataQ128878575 ScholiaQ128878575MaRDI QIDQ4986337FDOQ4986337
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
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- 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
- Exponential squared loss based robust variable selection of AR models
- Autoregressive process modeling via the Lasso procedure
- Parameter estimation and variable selection via ArctanLASSO
- Oracle model selection for correlated data via residuals
- Tuning parameter selection for the adaptive LASSO in the autoregressive model
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