Regularization and selection in Gaussian mixture of autoregressive models

DOI10.1002/CJS.11332MaRDI QIDQ4960859zbMATH OpenOpenAlexFDO

Authors Abbas Khalili, Jiahua Chen, David A. Stephens

Publication date 23 April 2020

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11332

zbMATH Keywords

autoregressive modelsinformation criteriaLassomixture modelsSCAD

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(7)

• Variable selection for skew-normal mixture of joint location and scale models
• A generalized mixture integer-valued GARCH model
• Regularized Estimation and Feature Selection in Mixtures of Gaussian-Gated Experts Models
• Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
• Estimation and variable selection for mixture of joint mean and variance models
• On Construction and Estimation of Stationary Mixture Transition Distribution Models
• Bayesian nonparametric density autoregression with lag selection

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