Subset ARMA selection via the adaptive Lasso
From MaRDI portal
Publication:647179
DOI10.4310/SII.2011.v4.n2.a14OpenAlexW2330798975WikidataQ60631505 ScholiaQ60631505MaRDI QIDQ647179
Publication date: 1 December 2011
Published in: Statistics and Its Interface (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/sii.2011.v4.n2.a14
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)
Related Items (11)
Modeling financial durations using penalized estimating functions ⋮ Automated Estimation of Heavy-Tailed Vector Error Correction Models ⋮ The LASSO Method for Bilinear Time Series Models ⋮ Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes ⋮ Oracle model selection for correlated data via residuals ⋮ Exponential squared loss based robust variable selection of AR models ⋮ Model selection for time series with nonlinear trend ⋮ Inference for the VEC(1) model with a heavy-tailed linear process errors* ⋮ Unnamed Item ⋮ The Doubly Adaptive LASSO for Vector Autoregressive Models ⋮ A note on rank reduction in sparse multivariate regression
This page was built for publication: Subset ARMA selection via the adaptive Lasso
