Estimation of stationary autoregressive models with the Bayesian LASSO

DOI10.1111/JTSA.12027zbMATH Open1282.62203OpenAlexW2119693067MaRDI QIDQ5397970FDOQ5397970

Authors: 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

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zbMATH Keywords

MCMCBayesian statisticsLASSOautoregressive models

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• Inference with normal-gamma prior distributions in regression problems
• The Bayesian Lasso
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• The Stationary Bootstrap
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• On the ``degrees of freedom of the lasso
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• Empirical Bayes Gibbs sampling
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• A large-sample model selection criterion based on Kullback's symmetric divergence
• Partial autocorrelation parameterization for subset autoregression
• Recursive maximum likelihood estimation of autoregressive processes
• Bootstrap-based penalty choice for the LASSO, achieving oracle performance
• Estimating the Order of an Autoregressive Model Using Normalized Maximum Likelihood

Cited In (8)

• Bayesian empirical likelihood inference and order shrinkage for autoregressive models
• Title not available (Why is that?)
• LASSO order selection for sparse autoregression: a bootstrap approach
• Uncertain Autoregressive Model via LASSO Procedure
• Lasso estimation for spherical autoregressive processes
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach
• Title not available (Why is that?)
• Tuning parameter selection for the adaptive LASSO in the autoregressive model

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