Subset selection for vector autoregressive processes via adaptive Lasso

DOI10.1016/J.SPL.2010.07.013zbMATH Open1202.62122OpenAlexW2036612144MaRDI QIDQ613145FDOQ613145

Authors: Yunwen Ren, Xinsheng Zhang 

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.07.013

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• The Doubly Adaptive LASSO for Vector Autoregressive Models
• Variable selection for partially linear models via adaptive LASSO
• Empirical likelihood-based subset selection for partially linear autoregressive models
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zbMATH Keywords

oracle propertyadaptive LassoBayesian information criterionvector autoregressive processesHQ criterion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cites Work

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• On the asymptotics of constrained \(M\)-estimation
• On the adaptive elastic net with a diverging number of parameters
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Cited In (19)

• Two-step adaptive model selection for vector autoregressive processes
• A new approach to select the best subset of predictors in linear regression modelling: bi-objective mixed integer linear programming
• Forecasting with a parsimonious subset VAR model
• On a semiparametric data-driven nonlinear model with penalized spatio-temporal lag interactions
• Space-time short- to medium-term wind speed forecasting
• Model selection for vector autoregressive processes via adaptive lasso
• An efficient branch-and-bound strategy for subset vector autoregressive model selection
• Oracle M-estimation for time series models
• Consistent model selection criteria and goodness-of-fit test for common time series models
• THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE
• Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
• Optimal multistep VAR forecast averaging
• Efficient strategies for deriving the subset VAR models
• Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
• Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
• Modelling subset multivariate ARCH model via the AIC principle
• Using Lasso-family models to estimate the impact of monetary policy on corporate investments
• Subset selection for vector autoregressive processes using Lasso
• The Doubly Adaptive LASSO for Vector Autoregressive Models

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