Estimation of stationary autoregressive models with the Bayesian LASSO
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Publication:5397970
DOI10.1111/jtsa.12027zbMath1282.62203MaRDI QIDQ5397970
Daniel F. Schmidt, Enes Makalic
Publication date: 25 February 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12027
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J07: Ridge regression; shrinkage estimators (Lasso)
62F15: Bayesian inference
65C40: Numerical analysis or methods applied to Markov chains
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LASSO order selection for sparse autoregression: a bootstrap approach, Tuning parameter selection for the adaptive LASSO in the autoregressive model, Bayesian empirical likelihood inference and order shrinkage for autoregressive models
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