Subset selection for vector autoregressive processes via adaptive Lasso
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- Subset selection for vector autoregressive processes using Lasso
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- The Doubly Adaptive LASSO for Vector Autoregressive Models
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Cites work
- scientific article; zbMATH DE number 193096 (Why is no real title available?)
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Asymptotics for Lasso-type estimators.
- Estimating the dimension of a model
- Least angle regression. (With discussion)
- On the adaptive elastic net with a diverging number of parameters
- On the asymptotics of constrained \(M\)-estimation
- Subset selection for vector autoregressive processes using Lasso
- The Adaptive Lasso and Its Oracle Properties
Cited in
(21)- Two-step adaptive model selection for vector autoregressive processes
- Neighborhood VAR: efficient estimation of multivariate time series with neighborhood information
- 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
- Space-time short- to medium-term wind speed forecasting
- On a semiparametric data-driven nonlinear model with penalized spatio-temporal lag interactions
- Model selection for vector autoregressive processes via adaptive lasso
- An efficient branch-and-bound strategy for subset vector autoregressive model selection
- Consistent model selection criteria and goodness-of-fit test for common time series models
- Oracle M-estimation for time series models
- Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
- THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE
- Efficient strategies for deriving the subset VAR models
- Optimal multistep VAR forecast averaging
- 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
- Model selection for vector autoregressive processes using broken adaptive ridge
- 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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