Two-step adaptive model selection for vector autoregressive processes
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ziel, Florian, 2016. "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR–ARCH type processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 773-793.
- Florian Ziel, 2015. "Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes," Papers 1502.06557, arXiv.org, revised Dec 2015.
- Xie, Fang & Xu, Lihu & Yang, Youcai, 2017. "Lasso for sparse linear regression with exponentially β-mixing errors," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 64-70.
- repec:eee:csdana:v:124:y:2018:i:c:p:27-52 is not listed on IDEAS
More about this item
KeywordsVAR models; Lag order selection; Adaptive jump selection; Impulse response analysis;
StatisticsAccess and download statistics
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