The Doubly Adaptive LASSO for Vector Autoregressive Models
From MaRDI portal
Recommendations
- Model selection for vector autoregressive processes via adaptive lasso
- Adaptive Lasso for vector multiplicative error models
- Subset selection for vector autoregressive processes via adaptive Lasso
- Tuning parameter selection for the adaptive LASSO in the autoregressive model
- Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
- The adaptive Lasso in high-dimensional sparse heteroscedastic models
- Two-step adaptive model selection for vector autoregressive processes
- Adaptive Lasso for linear regression models with ARMA-GARCH errors
- LASSO estimation of threshold autoregressive models
- Subset selection for vector autoregressive processes using Lasso
Cites work
- A Bayesian analysis of the minimum AIC procedure
- A new look at the statistical model identification
- An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
- Asymptotics for Lasso-type estimators.
- Autoregressive process modeling via the Lasso procedure
- Estimating the dimension of a model
- Fitting autoregressive models for prediction
- scientific article; zbMATH DE number 5957408 (Why is no real title available?)
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- Lag weighted lasso for time series model
- Least angle regression. (With discussion)
- New introduction to multiple time series analysis.
- On the asymptotics of constrained \(M\)-estimation
- Oracle inequalities for high dimensional vector autoregressions
- Stable recovery of sparse overcomplete representations in the presence of noise
- Subset ARMA selection via the adaptive Lasso
- Subset selection for vector autoregressive processes using Lasso
- Subset selection for vector autoregressive processes via adaptive Lasso
- The Adaptive Lasso and Its Oracle Properties
- The Fitting of Time-Series Models
- The Lindeberg-Levy Theorem for Martingales
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(12)- Subset selection for vector autoregressive processes using Lasso
- Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
- A new double-regularized regression using Liu and Lasso regularization
- Model selection for vector autoregressive processes via adaptive lasso
- Two-step adaptive model selection for vector autoregressive processes
- Lasso-type penalties for covariate selection and forecasting in time series
- Adaptive Lasso for vector multiplicative error models
- Adaptive LASSO estimation for ARDL models with GARCH innovations
- Time series modeling and forecasting by mathematical programming
- Subset selection for vector autoregressive processes via adaptive Lasso
- Multi-task sparse identification for closed-loop systems with general observation sequences
- Autoregressive process modeling via the Lasso procedure
This page was built for publication: The Doubly Adaptive LASSO for Vector Autoregressive Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4976476)
