LASSO order selection for sparse autoregression: a bootstrap approach

DOI10.1080/00949655.2017.1341885zbMath1492.62134OpenAlexW2726559407MaRDI QIDQ5106966

Dimitris N. Politis, Livio Fenga

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2017.1341885

zbMATH Keywords

bootstrapAR processesAICorder selectionmoving block bootstrap

Mathematics Subject Classification ID

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

Uses Software

• FitAR
• EBayesThresh

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