\(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
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Publication:898600
DOI10.1016/j.jeconom.2015.10.011zbMath1390.62179OpenAlexW2218268564MaRDI QIDQ898600
Eduardo F. Mendes, Marcelo C. Medeiros
Publication date: 18 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.10.011
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Economic time series analysis (91B84)
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