Subset selection for vector autoregressive processes via adaptive Lasso
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- Subset selection for vector autoregressive processes using Lasso
- Model selection for vector autoregressive processes via adaptive lasso
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- Tuning parameter selection for the adaptive LASSO in the autoregressive model
- The Doubly Adaptive LASSO for Vector Autoregressive Models
- Variable selection for partially linear models via adaptive LASSO
- Empirical likelihood-based subset selection for partially linear autoregressive models
- Adaptive Lasso for vector multiplicative error models
- Two-step adaptive model selection for vector autoregressive processes
Cites work
- Asymptotics for Lasso-type estimators.
- Estimating the dimension of a model
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- 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?)
- 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
(23)- Subset selection for vector autoregressive processes using Lasso
- Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
- Using Lasso-family models to estimate the impact of monetary policy on corporate investments
- Consistent model selection criteria and goodness-of-fit test for common time series models
- Forecasting with a parsimonious subset VAR model
- Efficient strategies for deriving the subset VAR models
- Modelling subset multivariate ARCH model via the AIC principle
- Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
- Model selection for vector autoregressive processes via adaptive lasso
- Space-time short- to medium-term wind speed forecasting
- A new approach to select the best subset of predictors in linear regression modelling: bi-objective mixed integer linear programming
- Two-step adaptive model selection for vector autoregressive processes
- PROJECTION MODULUS: A NEW DIRECTION FOR SELECTING SUBSET AUTOREGRESSIVE MODELS
- scientific article; zbMATH DE number 1179945 (Why is no real title available?)
- THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE
- The Doubly Adaptive LASSO for Vector Autoregressive Models
- Oracle M-estimation for time series models
- On a semiparametric data-driven nonlinear model with penalized spatio-temporal lag interactions
- Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
- Optimal multistep VAR forecast averaging
- Model selection for vector autoregressive processes using broken adaptive ridge
- Neighborhood VAR: efficient estimation of multivariate time series with neighborhood information
- An efficient branch-and-bound strategy for subset vector autoregressive model selection
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