Estimation of stationary autoregressive models with the Bayesian LASSO

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

zbMATH Keywords

Bayesian statistics; autoregressive models; MCMC; LASSO

Mathematics Subject Classification ID

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

Related Items

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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