Tuning parameter selection for the adaptive LASSO in the autoregressive model
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Publication:526980
DOI10.1016/j.jkss.2016.10.005zbMath1485.62123OpenAlexW2554472417MaRDI QIDQ526980
Okyoung Na, Sangin Lee, Sunghoon Kwon
Publication date: 15 May 2017
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2016.10.005
subset selectionBayesian information criterionautoregressive modelleast absolute shrinkage and selection operatorpenalized estimation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)
Related Items
Bayesian empirical likelihood inference and order shrinkage for autoregressive models, Penalized multiply robust estimation in high-order autoregressive processes with missing explanatory variables
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