Simultaneous variable selection and structural identification for time‐varying coefficient models
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Publication:5095822
DOI10.1111/jtsa.12626OpenAlexW3197091386MaRDI QIDQ5095822
Ngai Hang Chan, Linhao Gao, Wilfredo Palma
Publication date: 11 August 2022
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12626
local linear estimatorlocally stationary processesvariable selectiongroup Lassoinformation criteriatime-varying coefficient models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)
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Cites Work
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