Subset selection for vector autoregressive processes via adaptive Lasso

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

Xinsheng Zhang, Yunwen Ren

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

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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• Estimating the dimension of a model
• The Adaptive Lasso and Its Oracle Properties
• Least angle regression. (With discussion)
• Subset selection for vector autoregressive processes using Lasso
• Asymptotics for Lasso-type estimators.
• On the asymptotics of constrained \(M\)-estimation
• On the adaptive elastic net with a diverging number of parameters

Cited In (10)

• Two-step adaptive model selection for vector autoregressive processes
• Oracle M‐Estimation for Time Series Models
• OPTIMAL MULTISTEP VAR FORECAST AVERAGING
• Space-time short- to medium-term wind speed forecasting
• Consistent model selection criteria and goodness-of-fit test for common time series models
• A NEW APPROACH TO SELECT THE BEST SUBSET OF PREDICTORS IN LINEAR REGRESSION MODELLING: BI-OBJECTIVE MIXED INTEGER LINEAR PROGRAMMING
• Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
• Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
• The Doubly Adaptive LASSO for Vector Autoregressive Models
• On a Semiparametric Data‐Driven Nonlinear Model with Penalized Spatio‐Temporal Lag Interactions

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